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Post# of 47120
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karw

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karw

Re: None

Thursday, 04/29/2010 1:33:27 AM

Thursday, April 29, 2010 1:33:27 AM

Post# of 47120
Hi All,

In probability theory, the Kelly criterion, or Kelly strategy or Kelly formula, or Kelly bet, is a formula used to determine the optimal size of a series of bets.

http://en.wikipedia.org/wiki/Kelly_criterion

Looking at this formula, it seems that it is very AIM-like.
Only when your chance of losing is greater we don't go short, but we certainly could write options.

This Kelly formula is also in line with the Vwave concept, where we increase our bets at lower Vwave values and decrease our bets at higher Vwave values.

Kind Regards,K
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