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Thread: Risk of Ruin to Kelly Factor Conversion

  1. 05-13-2018, 04:13 PM #1
    MercySakesAlive
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    Risk of Ruin to Kelly Factor Conversion

    I want to convert risk of ruin percentages into kelly factor values.

    Is there a formula for this?

    RoR............K-factor
    0.135.........1.00
    0.050.........0.67
    0.018.........0.50
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  2. 05-13-2018, 04:35 PM #2
    Phoebe
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    RoR=exp(-2/k)
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  3. 05-13-2018, 04:59 PM #3
    MercySakesAlive
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    cool, whats the formula to go the other way?

    its been awhile since I played around with logarithmic forumlas. thanks.
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  4. 05-13-2018, 05:45 PM #4
    lij45o6
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    Quote Originally Posted by MercySakesAlive View Post
    cool, whats the formula to go the other way?

    its been awhile since I played around with logarithmic forumlas. thanks.
    Solving for k? You take the inverse of e, which is the natural logarithm or Log_e:

    Log[RoR] = Log[e^(-2/k)]
    Log[RoR] = -2/k

    Solve for k:

    k = -2 / Log[RoR]

    *NOTICE*: Make sure you are computing all values for Log_e, not Log_2 or Log_10!
    Last edited by lij45o6; 05-13-2018 at 10:31 PM. Reason: mathematical error
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  5. 05-13-2018, 05:54 PM #5
    MercySakesAlive
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    Cool, thanks dogman

    Sent from my SM-G900V using Tapatalk
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  6. 05-13-2018, 06:43 PM #6
    lij45o6
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    Quote Originally Posted by MercySakesAlive View Post
    Cool, thanks dogman

    Sent from my SM-G900V using Tapatalk
    Do you have Blackjack Attack, 3rd edition? It is of tremendous value. It will explain the RoR function for you in better detail.
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  7. 05-13-2018, 07:21 PM #7
    MercySakesAlive
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    yes, maybe I missed these formulas in there
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  8. 05-13-2018, 07:47 PM #8
    MercySakesAlive
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    actually, you had your numerator and denominator backwards. Its
    Kelly factor = -2 / ln RoR
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