Kelly Thread

[NotEnoughHeat]

I was going to post this in the BR/ROR thread but I figured that this might be a topic worth considering on its own.

I would like to ask the fine players of BTF how they incorporate kelly, if they do at all, into their game as well as making this an open thread about the Kelly Criterion.

My spread was actually decided a bit arbitrarily, with some inspiration from a spread found in a book, and happened to closely match a full kelly.

I know that technically you can never lose your bankroll kelly betting (or in any proportional betting scheme). However, I'm curious about what your risk of ruin looks like if you set your ramp using kelly (3/4, 1/2 and 1/4 would also be worth a look) and rounded or floored to the closes $5 increment and played that set scheme without any re-adjustments during wins and losses. Any kind of rules are ok as long as you state them, but I would prefer 6D H17 DAS double any 2 with at least 75% pen. Let me know if any other information is needed to answer the question.

[moo321]

I usually play half-Kelly. If I were a full-time player, that would be too much risk.

[NotEnoughHeat]

I usually play half-Kelly. If I were a full-time player, that would be too much risk.

How much do you think you would play if you were a full-time player? 1/3 or 1/4?

My brother was (and will again be) a MMA handicapper. He started at 1/4 Kelly and went 1/3 Kelly once he became confident in skills. However sports betting is different than blackjack. For kelly purposes, most will underestimate their edge to be safe. I presume my brother went with a more aggressive fraction because he finally received a better idea of what kind of advantage he was getting.

[terry0222]

There is software available which provides optimal betting ramps based upon the Kelly factor you wish to use. Of course, at the same time you can determine what level of risk you wish to play at, given your a) bankroll and 2) financial goals. The software certainly avoids the need for a lot of guesswork. IMHO, an worthwhile investment to take a lot of the guess-work out of playing within risk/reward limits that are tolerable.

Terry

[RS]

Get CVCX if you don't already have it. Amazing for setting up a bet ramp and showing you the stats (ROR, EV, standard deviation, N0, etc.). Another amazing part is it shows you how a game changes based on the rules, penetration, spread, # players, etc. I've found games that I first thought were pretty good - only to plug the details into CVCX and show me it's pretty bad. Other games I thought were OK, and turned out to be way better. It really helps you be able to determine the strength of a game. Never realized how good surrender was before running sims with late surrender. And figured out that S17 and H17 don't have a significant difference. I'll take an LS H17 game over an S17 w/o LS any day of the week.

[DSchles]

"I'll take an LS H17 game over an S17 w/o LS any day of the week."

See BJA3, pp. 232-233, to quantify the exact differences between the two for various penetrations and spreads.

Don

[ZeeBabar]

"I'll take an LS H17 game over an S17 w/o LS any day of the week."

See BJA3, pp. 232-233, to quantify the exact differences between the two for various penetrations and spreads.

Don

in the Mideast area (St. louis, Tnica etc,.) I never come across any LS. Are such games disappearing?

[tjr5259]

Okay I don't know much about kelly but I think I know the formula and general idea of it. I'm pretty sure it states not to make a bet when you are at a disadvantage so the only way you could use it is on games you know you have an advantage such as positive counts in blackjack or getting a hole card. The equation needs the probability of winning the bet and losing the bet in the equation but if you are using it to sports bet how can you get a definite probability? I thought kelly was just another progression system but I see many people say they use it to determine bet ramps so I must be mistaken.

[NotEnoughHeat]

Okay I don't know much about kelly but I think I know the formula and general idea of it. I'm pretty sure it states not to make a bet when you are at a disadvantage so the only way you could use it is on games you know you have an advantage such as positive counts in blackjack or getting a hole card. The equation needs the probability of winning the bet and losing the bet in the equation but if you are using it to sports bet how can you get a definite probability? I thought kelly was just another progression system but I see many people say they use it to determine bet ramps so I must be mistaken.

There's been skepticism about kelly (sometimes well founded, sometimes not) on websites and in the literature. However as far as I can tell, it's good math and the academic background and continued relevance in some fields attest to that.

It's not really a progression system since the amount isn't determined by previous wins or losses. I'd probably put it under the header of proportional betting schemes (you bet a certain percentage of your bankroll per wager instead of a flat amount or one that's determined by something your bankroll). Another way of formulating kelly instead of using win/loss % and payouts is using EV and SD.

I don't know a whole lot about sports betting myself, but from what I understand is that you just don't get a definite probability. At it's core, the difficulty of sports betting (or horses or whatever) is being able to accurately assign probabilities to event and judge whether the bets available to you yield an edge. That's why I mentioned that sports betters tend to be conservative when using their edge or probability of winning to determine a kelly size, since people prefer to be below rather than above kelly to minimize bankroll volatility and being conservative gives you a margin of error so you don't over bet (bet too much more than the kelly fraction they're going for).

[MyCatsCalledEnrico]

Does anyone know of data showing the difference between applying full Kelly betting to half-Kelly, quarter Kelly etc. (in terms of speed of bankroll growth and variance)? I've seen this before in one of my blackjack books but I can't seem to recall where.

[MyCatsCalledEnrico]

Its Ok I found what I was looking for. http://wizardofodds.com/gambling/kelly-criterion/

I probably should attempt a google search before I ask a question.