Modifying Kelly for trading?

[Pompano]

Hi, I'm trying to work out a staking plan for an automated trade I'm planning. I've written a couple of C# applications that gathers certain inplay markets from Betfair and then just before market turns inplay it starts polling prices once per minute and putting it into a database. I then extract the data from the database to try to find patterns on when to enter a market and when to close position in future trades. But I obviously want to have a staking plan for my system and I have been looking at Kelly but I feel it's inaccurate because when I make a loss on the trade I don't lose 100% of the stake. I (roughly) know my expected win % and I know the expected % ROI when I trade to profit and the -% ROI when I stop loss close the position. So consider the hypothetical numbers: Win: probability 80%, ROI 12% Loss: probability 20%, ROI -33% This averages to an expected ROI of 3%. But how do I plug that in to Kelly? If I use 1.03 as the price ratio and 100% as win probability Kelly suggests to ship in the entire bankroll. (and that won't work :lol) If I use 1.12 as the price ratio and 80% win probability the formula assumes that the other 20% I lose the entire stake and suggests "no bet", but in this case I only lose 33% of it. Any help on this would be appreciated. //P.

[WestWasWon]

Re: Modifying Kelly for trading? Take the stake as 100u. If you win 12% back 80% of the time (12u) and lose 33% (33u) 20% of the time, then you are gambling 33u to win 12u with an 80% success rate. So your decimal odds are 1.36 (meaning 24% of bankroll at fully kelly). Of course there are still problems in that you might have issues with simultaneous bets (since you are staking more than the % bankroll in order to get 33u on a bet). Also if you can lose the entire 100u at any point there are other problems to contend with.