The Kelly Criterion is a money management formula that calculates the amount you should bet when there is a difference between the “true” odds and the given odds. It’s doable. B – payout on the bet. . Works best when used in retrospect. The Kelly criterion is based on a trader’s history of at least 100 trades. The resulting optimal bet for this type of game, as a fraction of wealth, is. 20 or 20%. Pricing. However, unlike in the previous situation we examined the Kelly Criterion for, there is not a nite number of outcomes of a bet on a security, so, we will useThe Kelly Criterion is straightforward to calculate: you only need two inputs to determine the optimal betting size: The win/loss ratio – the win percentage of your trading strategy (R) (dividing the total gains of the winning trades by the total loss of the losing trades) The win ratio of the trading strategy (W) (the number of trades that. In current times, the Kelly Criterion is used in a similar purpose for investors around the world. Currently i risk 2% of capital. The report. Position Sizing can make or break your trading results. 39 - 5. Business, Economics, and Finance. 36% (18/38). which gives you the optimal amount to bet ( f*) given the probability of. By using the Kelly criterion formula, you can make informed decisions. For example, if you have $10,000 in your trading. The second point is that the trading strategy is difficult to determine the winning rate in the financial market and cannot be brought into the Kelly criterion to calculate the optimal fraction. The Real Kelly) discussed in this @Pinnacle article The Real Kelly. ℓ = 2 ( p − 0. Let’s calculate K for our scenario:Also know as a lay bet calculator. 40. The Kelly criterion is a well-known strategy for sizing bets to maximize long-run expected log wealth. Based on the Kelly criterion, K% = (1 × 0. The expected return from a winning outcome. The Kelly Criterion is 6. There’s something uniquely satisfying about earning profits for yourself. Kelly and is widely used by traders and gamblers to determine the position size for each trade/bet. 67%. Today the best prop trading firms use this formula to maximize the possible. In this paper, we. One should not commit more than 20% to 25% of the capital into single equity regardless of what the Kelly criterion says, since diversification itself is important and essential to avoid a large loss in the event a stock fails. In addition, we propose the Kelly stationary index (KSI) to quantify the stationarity of the stock's outcomes distribution, which will affect the trading period and forecasting frequency. A Kelly Criterion sports betting calculator can be used to manage your sports betting bankroll and determine optimal bet sizing. For example, if you have a ROI of 5% it would look something like this: Full Kelly % of bankroll = . The odds are 60/40 in your favour so only betting $1 is likely too conservative. s = b * (o. UEFA Champions League. The Kelly Criterion is 6. The Kelly Criterion tells you the position sizes you should be taking on your next trade. Insane. L. 8 million during the three months leading to Sept. We consider Banca Intesa as the reference stock. Nicholas joins Chris for a conversation on correctly sizing your investments using the Kelly Criterion,. In probability theory, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for sizing a bet. We hope this skill can be applied to any futures trading strategies by using option buy-side. 8% of your total bank roll. 36%)-1 = -5. It was found that the formula, which has a gambling background and helps to determine the optimal bet size, can also help with finding the ideal investment size. A 1997 paper by Ed Thorp, a smart man who basically got rich using the Kelly Criterion. Kelly Criterion มีที่มาอย่างไร ผมไม่ขอพูดถึงเยอะ เนื่องจากที่ผ่านมามีหลายบทความหรือเพจต่าง ๆ เขียนอธิบายไว้แล้ว แต่ผมจะขอสรุปสั้น. It was found that the formula, which has a gambling background and helps to determine the optimal bet size, can also help with finding the ideal investment size. Thorp extended the Kelly Criterion logic and developed an adapted. 2. However, unlike in the previous situation we examined the Kelly Criterion for, there is not a nite number of outcomes of a bet on a security, so, we will use The Kelly Criterion is straightforward to calculate: you only need two inputs to determine the optimal betting size: The win/loss ratio – the win percentage of your trading strategy (R) (dividing the total gains of the winning trades by the total loss of the losing trades) The win ratio of the trading strategy (W) (the number of trades that. 14 powerful trading calculators | Trade Optimizer Tools for professional traders. Calculator. So your bank roll should just be as large as however much money you have and are willing to bet on sportsbetting. This is just common sense! The Formula for the Kelly Criterion Is. How to use the Kelly Criterion to manage money based on your stock trade history. There is a 60% chance of a winning a coin flip. The idea is that you determine the ideal fraction of your money to allocate per trade based on past performance. Kelly Criterion Calculator Kelly Criterion Calculator The Kelly criterion is an advanced money management method that helps traders determine what proportion of their trading capital should be invested in a particular position. payout percent 1), you. 14, marking the brand’s mobile debut in the United States. If you change your trading system in any way it invalidates your Kelly Criterion results. The literatures show the effectiveness of the. Kelly system betting provides an objective answer on how to make your bankroll grow as fast as possible. Tastytrade has some videos on applying kelly's criterion to options trading. Calculate your probability of winning W. Full Kelly has an interesting property: there is an X% chance of your bankroll dropping to X% of what you started with 5. Works best when used in retrospect. where “a” and “b” are the amounts. 35 ) / 0. This formula. In such a case, the Kelly criterion suggests that if one were to go over 20% repeatedly on a low. The Kelly Criterion. After 5000 bets, betting with the Kelly Criterion yields a total capital of between $5000 and $10000 (a percent increase of capital of over It causes that the position size is hard to be estimated by the Kelly criterion. My RoR is thus 0. Kelly Criteria and the Kelly Formula. Futures and options trading involves a substantial risk of loss. The Kelly Criterion Calculator helps you decide what percentage of your bankroll to place on a group of sports bets. Wu and Chung [14] proposed a method for option trading to identify a profitable option portfolio by bidding the optimal fraction of the Kelly criterion. The resulting optimal bet for this type of game, as a fraction of wealth, is. 1. Kelly Criterion. Critical Net Worth Calculator. Best Betting Sites We Recommend for the Kelly Criterion in Betting 2023. Usually, the bigger your edge on the odds the more you should bet but Kelly also takes into account the real chance of that bet winning and Kelly would advise a smaller bet for a 5% edge at even money (2. Bet £10 get £30 (credited as 2 x £15 bets) Highly competitive odds; Create your own bets for the highest value!. The Kelly criterion is a formula used in investing to calculate the optimal amount that should be allocated in future trades based on historical performance. Imagine we have a trading system with a win rate of 65%. Compared with prior studies, they argued. This gives us a Sharpe Ratio of S = 0. The investor would calculate the efficient frontier as above, but when calculating the median return could use a simulation-based set of returns at the horizon. • W =. 124 = 0. Here, we have four equations that define our model with two sets of variables, f and x. Put simply, the Kelly Criterion or Formula is a way to calculate how much of their assets a Forex trader should risk on any given trade in order to maximize the return. Winning Probability : Enter the probability of earning a profit from investment. Therefore you can calculate your edge as follows: Edge = (1+1) (47. The Kelly Criterion For Asset Allocation Let's say that you're investing with a 10 year time-frame – you want to buy a house or retire, for example. In probability theory, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for sizing a bet. $egingroup$ @elemolotiv I read a lot more after that post. The Kelly Criterion isn’t perfect considering it doesn’t take into account our level of confidence for a given trade, however, it does give a really solid reference point. In this analysis, we delve into the Kelly Criterion strategy and its applicability to optimizing trading and investment endeavors for maximal growth. ) Your starting bankroll is however much you want to spend on betting. The second is the total win loss ratio, which is made up of the total number of winning trades divided by the total number of losing trades. For the purposes of this. 82*((X/Y) + 1) - 1)/(X/Y) comments sorted by Best Top New Controversial Q&A Add a Comment. Figure 2: Capital Through 5000 Bets: Betting with the Kelly Criterion vs. 2. Many adages exist: don't bet more than 2% on one trade, don't enter trades that don't have x% upside, never bet on the same stock twice in quick succession, etc. The Kelly Criterion gives an optimal result for betting based on the probability of winning a bet and how much you receive for winning. 52 q=0. The strategy is prevalent and is used as a revered staking plan among stock market investors and sports bettors to gain an edge. Learn how to make high probability bets and make income at the link below"WELCOME20" to get $20 off your first month!Kelly Crite. The ESPN Bet Massachusetts launch is set for Nov. To practically apply the Kelly Criterion, investors can follow a systematic approach: Analyze past trading or betting data to identify the winning probability and win/loss ratio. Unsurprisingly, the volatility or variance in the evolution of the bankroll is greatest for full-Kelly and least for eighth-Kelly. , see: "The Kelly Criterion in Blackjack Sports Betting, and the Stock Market" [2]. * R = Historical Average Win/Loss ratio. With hand waving and basic math you can also use it to help guide. Nicholas Yoder is a mathematician with twelve years of experience in derivatives trading and quantitative finance. 00 returns a total of $300, including the proposed stake. Bettors will now adopt a 1/2, 1/4 or 1/8 Kelly Criterion bankroll strategy (consistently using the same fraction as part of the method). Kelly Percentage = W – [(1 – W) / R] W - Winning probability; R - Win/loss ratio; With your trading records, you can calculate your winning probability and win/loss ratio easily. The Kelly Criterion is a mathematical formula that is used to calculate the optimal position size to take in a trade, based on the expected return and the risk involved. If you’re extremely confident in a trade, consider sizing up to your K%, (5 -. The Kelly criterion is a theoretical formula for obtaining the best return when repeatedly investing money. He in fact, suggested the Kelly’s Criterion to help the telecom company with long distance telephone noise issues. No-Vig Fair Odds Calculator. Kelly Criterion. The Q3 revenue of $1. The Kelly criterion is the bet size that will produce the greatest expected growth rate in the long term. Zenios and W. I want to use actual trade data to calculate the Kelly %. I start trading a mean reversion strategy with a 70% win rate, and $200 risked per trade. Download our free and easy-to-use Kelly Criterion Calculator by downloading this excel. The Kelly formula (edge/odds), in expanded form, is: (P*W-L)/P. Kelly % = W/A – (1 – W)/B, where W is the win probability, B is the profit in the event of a win, and A is the potential loss. If you can calculate the probability of winning on each bet or trade and the ratio of the average win to average loss, then the Kelly criterion will give you the optimal fraction to bet so that your long-term growth rate is maximized. After Thorp (1969) widened the use of Kelly criterion it has been suggested by a several authors during the years. 67% of your account balance on a single trade. 8 million during the three months leading to Sept. Kelly himself was an interesting character: a chain smoking Texan who used to be a fighter pilot in the Navy during World War 2, he was also brilliant. Kelly Criterion Calculator - Know Your Stakes Quickly - Kelly Criterion determines how much of a stake you should risk on a favorable bet, is a popular staking method which suggests that your stake should be proportional to the perceived edge. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected. 14. That is, he wanted to find (for each market system) an optimal number of contracts or lots, which should be traded with a certain account balance in order to maximise the capital growth. Take Profit (%): Stop Loss (%): Portfolio ($): CalculateThe Kelly Criterion is a formula to determine the proper size of a bet with known odds and a definite payout. 00. A = 70% – 30% = 40% = 0. In current times, the Kelly Criterion is used in a similar purpose for investors around the world. If you decide on 1%, you are betting $10 for a $1000 bankroll. The Kelly formula is : Kelly % = W – (1-W)/R where: Kelly % = percentage of capital to be put into a single trade. You have an extra $100,000 and are trying to determine the best allocating. “The Las Vegas Grand Prix was the most bet F1 event. B – payout on the bet. There are two key components to the formula for the Kelly criterion: the winning probability factor and the win/loss ratio. Point 3: Master the trading characteristics of various bookmakers in different events. - Kelly Criterion - Historical performance based risk Option Trading Tools: - Covered Calls - Buy stock. The calculator will tell you whether or not you should be betting and how much to stake. In addition to our automated calculator above, you can also download our excel version below. If your Optimal F is 18 percent, then each trade should be 18 percent of. Ubzen 2012. The amount won is $200 or multiple of the odds based on the stake. You're advocating using full Kelly to calculate the stake/units staked within a unit staking system. MacLean LC Thorp EO Ziemba WT The Kelly capital growth investment criterion: Theory and practice 2011 Singapore World Scientific 10. John Larry Kelly Jr. " David P. P – odds of winning. Money management strategy based on Kelly J. which gives you the optimal amount to bet ( f*) given the probability of. The probability of winning, and the probability of losing. Specifically, we’ll go over the Kelly Criterion with a concrete example in…. L. Kelly’s Criterion which helps telecom companies with long distance telephone noise issues was proposed by John Kelly in the 50’s. Members. The probability of winning, and the probability of losing. It is assumed that all trading profits are reinvested, and. 50%. It's free to sign up and bid on jobs. For example if you wager Black in roulette your profit ratio is 1 to 1, and the win probability is 47. Calculate the relationship between risk and return R. Mcbac , 03/27/2019. These numbers are identical only in the “special case. 67%. The famous coin-flipping exercise that many investors use to measure the performance of chance. The Kelly Criterion in C#. best trading strategy has optimal f mostly = 0. This equates to a 4. Thus, the Kelly Criterion is a natural candidate for position sizing. Disclosure. About. b = the decimal odds – 1. We are giving you two options on how to use the Kelly Criterion Calculator. Your odds of winning any one flip are 50/50. With kelly. 0% of similar occasions, you would expect to gain $99. e. Kelly's criterion where Example of the optimal Kelly betting fraction, versus expected return of other fractional bets. These numbers are identical only in the “special case. Although it may appear confusing, it’s actually pretty simple. Written By: Brant James. The formula for the Kelly Criterion can be written as: Kelly% = W – [ (1-W) / R] Where: W = Winning probability factor (the probability that the result of the trade will be positive) R = Win/Loss Ratio (the total positive trade sums divided by the total negative trading sums)In plain English, the Kelly criterion says: Bet bigger when your edge is bigger and your chance of winning is higher, but bet less when your edge is smaller and your chance of winning is lower. 4. Not actually using full Kelly. This program calculates the optimal capital allocation for the provided. Explore math with our beautiful, free online graphing calculator. 215×10−1. The Kelly Criteria is an interesting thing to play with. We explain how it works, and discuss its advantages and disadvantages. Ultimately, the Kelly Criterion formula calculates the perceived edge you have. Then you do the very simple maths each time you place a bet. If you have no edge, the optimal bet size would be 0. The Kelly Criterion gives an optimal result for betting based on the probability of winning a bet and how much you receive for winning. In probability theory, the Kelly criterion (Kelly, 1956) [] gives the bet size conditions required for gambling wagers to almost surely achieve the maximum exponential growth rate of wealth (or “bankroll”) based on assumed probability of success if the wager were to be placed repeatedly ad infinitum. CURRENT BALANCE: Insert your current betting balance BOOKMAKER ODDS: The odds you want to back YOUR ESTIMATE (%): Your estimated probability of the selection winning FRACTIONAL KELLY BETTING (FKB): Choose between 0. Information wants to be free. 0003%. Kris Verma is a successful pharmacist and sports better turned day trader. These two factors are then input into the Kelly Criterion equation. Big-time investors such as Warren Buffett and Bill Gross have recently revealed that they use the Kelly Criterion in their investment process. 40) / 1 = 0. 4. 40) / 1 = 0. 29 Losses using Kelly criterion: 119 X . Wu and Chung designed an option trading strategy via Kelly criterion, which showed the feasibility and profitability in practical scenarios. Generally, the Kelly criterion is a formula that maximizes the expected value of the logarithm of wealth that is equivalent to maximizing the expected long-term growth rate. In currency pair trading, the Kelly criterion can be applied to determine the optimal position size based on the trader’s past performance. "The Kelly criterion and its variants: theory and practice in sports, lottery, futures & options trading The symmetric downside Sharpe ratio and the evaluation of great investors & speculators and their use of the Kelly criterion William T Ziemba Alumni Professor at Financial Modeling and Stochastic Optimization, Emeritus, Sauder School of. Try out the Kelly Criterion Calculator below, but pay careful attention to heavy favorites (i. Applying the formula to forex trading looks like this: Position size % = Winning trade % - ( (1- Winning trade %) / Risk-reward ratio )Usually, bettors applying the fractional Kelly criterion use half a Kelly, a quarter of a Kelly, or an eighth of a Kelly. The formula is as follows: f = the fraction of the bankroll to bet. 0003%. So basically, in the most general sense, "Kelly" just means use a log-utility when balancing risks. The reward/risk ratio can be computed by the quotient: It is a criterion traders must set for themselves prior to entering a trade. In the report, the entertainment giant revealed it will be launching ESPN Bet on Nov. Because, yeah changing the bankroll is absolutely key. Managing Risk With Math. The thresholds and the Kelly criterion simultaneously constrain the trading system in order to increase the profits of the trade, which is in the final rounded rectangle. To associate your repository with the kelly-criterion topic, visit your repo's landing page and select "manage topics. It can seem counterintuitive in real time. WagerWire finally gets to try out its big idea: if sports bettors will trade bets like stocks. The widget below calculates how much one should bet based on three factors. 6 winning probability. 67 billion is largely attributed to Wynn Resorts’ Macau operations. We do this by maximizing the median outcome with respect to the size of our bet, ℓ. 50 = -0. k. g. 52 q=0. Very interesting nonetheless!The Kelly’s formula is : Kelly % = W – (1-W)/R where: Kelly % = percentage of capital to be put into a single trade. This method allows for the bettor optimize their bet size, while limiting their exposure to ruin (i. 48. Apply the kelly formula and get the fraction that optimizes the. I want to calculate the Kelly bet for an event with more than. Thorp is famous for his blackjack paperback, Beat the Dealer, where he explores Kelly for gambling. For example, a $100 stake at 3. 5. The formula is as follows: Kelly Formula . I tried to write a real-time trading system, however do not know how to fit a Kelly model into the system. It also leaves the question open as to how one calculates an allocation for a given long call or put. Follow. 30. meaning that the parameters of the equation needed to calculate the Kelly Criterion vary every. if your max loss is 50%, optimal-f will be double kelly. The Kelly criterion is a formula for sizing a bet or investment, aiming to maximize the expected geometric growth rate of wealth. 62 billion. I have a few calculators I use to do this. In this article, we will explore the Kelly Criterion in Forex trading and how it can be used to enhance your trading strategy. The Kelly criterion calculator is a powerful tool for managing your money when gambling or investing. To use the kelly criterion reasonably in trading you will need to follow these steps: Access at least one sample of one hundred trades you have executed. 05/1)/2 = . Here are the steps that you have to follow in order to use our Kelly Criterion Calculator: Add your current betting balance in the cell called “Current Betting Balance”. Well, say hello to Kelly’s Criterion! 14. 67%, which means to realize maximum account growth, you may risk up to 6. a. When the account value changes to $8,000 or $12,000, you will use $4,800 and $7,200 respectively for the. Example: if the values of cells A1 and A2 both equal -102 ExchUS2Holds (A1. Adjust your Kelly fraction by your posterior uncertainty. 2. 077 / 0. But the formula works only for binary bets where the downside. Works quite well in many ways, but has serious limitations when used for trading. the Kelly Criterion to the stock market. This is to control risk and avoid blowing up. How to Use the Kelly Criterion. 05. is the author of the Kelly criterion formula from 1956. While this formula is great, it still only. 77 = $91. This guide explains how the Kelly Criterion works and why it’s so good for sports betting. 3. . The problem with this is that KC completely upends this. Kris Verma is a statistician of sorts. Inside you will find the resources and guidance you need to. Developed by a scientific researcher John Kelly Jr. For example, a wager with a 60% chance of being successful has a 0. Losing the first bet and winning the second will lose $4 more. Here p s is the fraction of wins that in the long run tends to p. He gives lectures to various institutions including The World Bank, Carnegie Mellon, and billion-dollar hedge funds. Kelly, who was a member of a research center at AT&T’s Bells Lab, New Jersey in 1956. 1. but it's probably something I'm overthinking. Please, remember, the game started. (For example, if you have a 40% win rate, then enter the number "40", not 0. PK. The Kelly Criterion Formula was originally devised in 1956 by John Kelly, and was later adopted by investors and gamblers for stake money management. e. Motivation . If they allow the customer to bet too big in the start they might be able to win and wipe them out in one go, but forcing customers to use small bets ensures that profit approaches the expected value, which for all games is tilted in the casino's favor. The formula is as follows: f = the fraction of the bankroll to bet. 40 - 1) 3 = 0. You enter the Kelly adjustment into D6. As an example, the next image shows the progression of the equity curve with the same sequence of gains and losses, using 15% and 25% trade sizes in the mentioned coin-toss game. Bettors can also modify the Kelly formula to suit their needs and tolerance to risk. He derived a trade sizing. the kelly criterion helps with the decision of how much one should invest in a asset as long as you know the odds and expected return of said asset. if anything, it. The closer to 1 you get, the better. This episode will give an example for appl… Show Stock Market Options Trading, Ep Kelly Criterion For Position Sizing Credit Spreads -. Kelly’ Criterion has an interesting background. class KellyCriterionStrategy (bt. So, if trading monthly long options is your game, your optimum sizing is ~ 5 to 6 option trades per months each ~ 20% of your total risk capital. Conclusion. John Larry Kelly Jr. addition to trading signals, a suitable trading strategy is also crucial. The Kelly Criterion is a formula used to bet a preset fraction of an account. Gehm (1983) applied the Kelly criterion to the commodity market when trading futures and later on also Balsara (1992) used. Make your sports betting experience easier with our Kelly Criterion calculator, learn about the Kelly Criterion and how much you should wager to maximise your profits! Get Our. Kelly % = trading capital to use in one trade. After retiring from being a pharmacist, Verma decided to apply his statistical edge in sports betting to the markets. Big-time investors such as Warren Buffett and Bill Gross have recently revealed that they use a form of the Kelly Criterion in their investment process. ( full story) The Kelly Criterion is a scientific gambling method using a formula for bet. py, the app adopts a mathematical approach to investment sizing. Chopra and Ziemba (1993), reprinted in Section 2 of thisWhatever method you use it’s important to understand that the Kelly Criterion assumes you continue trading in the same way you have in the past. p = probability of winning (0. g. In this formula, P is the payoff, W is the probability of winning, and L is the probability of losing. b = decimal odds – 1. Facebook. While most calculators compute the Kelly Criterion in terms of odds and edges ( gambling terminology ), this calculator is designed to work in terms of current and future prices (. A = 70% – 30% = 40% = 0. if your max loss is 50%, optimal-f will be double kelly. 1 Author by Vilhelm Gray. Calculate the winning probability (W) by dividing successful trades by the total number of trades. The formula has a number of applications, one of which is sports betting. 52, payout_perc=1) # 0. 05/1 = . Kelly Criterion, works by looking a traders historical win/loss and gain/loss performance and optimizes the next trade risk basis on overall performance history. Kelly Criterion. Search for jobs related to Kelly criterion calculator trading or hire on the world's largest freelancing marketplace with 22m+ jobs. It consists of kelly divided by max loss. It was found that the formula, which has a gambling background and helps to determine the optimal bet size, can also help with finding the ideal investment size. edge2 edge2+σ2 = σ2 market σ2 market+σ2. Refresh the page, check Medium ’s site status, or find something interesting to read. Many well known investors use it, including Warren Buffett and Bill Gross. After backtesting this, say it gerates 60% win. ) 2) Reward per Dollar Risked: Enter the amount of capital your strategy, on average, profits. You can read more about how it works in this Kelly Criterion Wikipedia article. The Kelly Criterion calculation is used to calculate the optimum stake or position size for a given event, and is made up of four factors. And that article is using the same hypothesis that I am - look at your OWN trading record to calculate probabilities, etc. More precisely, for the case of one stock modelled with geometric Brownian motion, one obtains a Kelly frac-Keywords: Kelly criterion Optimal fraction KL-divergence 1 Introduction Financial trading is an interesting research issue to many experts and scholars. e. R = Historical Average Win/Loss ratio. 60 – 0. It is the probability of the anticipated wager winning. Risking 2% does not mean buying with 2% of capital. . Many skills of money managements are based on the Kelly criterion, which is a theoretical optimization of bidding an optimal fraction for position sizing. q = 1 – 0. . Kelly Criterion Calculator To see the formula in action, lets take an example of a football match where the odds available on the draw are 3. Thus the Kelly leverage says that for a 100,000 USD portfolio we should borrow an additional 401,000 USD to have a total portfolio value of 501,000 USD. The second is the total win loss ratio, which is made up of the total number of winning trades divided by the total number of losing trades. Ziemba . b = the decimal odds – 1. To calculate the “R,” divide the average. This is because, as explained later, the Kelly Criterion doesn’t produce an “optimal fraction to bet,” but rather a leveraging factor. L. 1. 40. so it could be hard to apply to something as complex as options trading in real life with non-discrete outcomes and variable. The system will automatically calculate everyday 12AM while I want to add another function which is auto placed order with certain stakes (by applied Kelly criterion model) once got the calculated forecast price. Those are all very bad assumptions which leads to the criticism of Kelly or Optimum-f. It results in the maximum expected rate of bankroll growth, and is the optimal strategy for money management in betting games. Abstract: We propose a framework of option trading strategy for the simple index futures trading. It. It is a simple formula that calculates the proportion of your balance to wager on a particular gamble.