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Kelly for trading/backing multiple selections


Sand87

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Re: Kelly for trading/backing multiple selections Well my understanding of kelly is that strictly speaking it's applicable to situations with only two outcomes that are known beforehand: Win A, Lose B. Therefore kelly needs adapted for trading because rather than Win A, Lose B there is a range of possible outcomes. If you back at 8 on 5% commission your real odds are 7.65 which is what goes in to your kelly formula. If you are backing and laying or betting on multiple selections you will not be hit quite so hard by commission.

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