Originally Posted by
Freightman
Don’s area of expertise. In blackjack terms, slightly misleading since most of us will play, or invest in hands where our expected value <0, in other words knowingly play at a loss.
In positive expectation hands, we wager that portion of our bankroll which corresponds to our advantage - Wagering fully 1 or 2% of our bankroll when we have either 1 or 2% advantage. That is known as full Kelly and it is a variance roller coaster. Full Kelly equates to 13.5% ROR, which is what you show in your sim.
Stronger bankrolls will play to a lower risk, such as half Kelly or quarter Kelly and less. Google Kelly Criterion. Don will also enthusiastically refer to BJA3 which has a nice section on it, as well as most everything else.
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