kelly criteria-(Agressive BRM )

  • 1 reply
    • conall88
      Joined: 02.01.2009 Posts: 1,715
      the kelly criterion is a bit too aggressive unless you are a proven winner at the stake you intend to play imo. The formula relies on you being very certain that it is a reflection of your winrate, and of course you need big sample sizes for that, which most people won't have if they are considering a new BRM anyway. The kelly criterion as you mention it still has a significant risk of ruin. I notice some people quote it at between 10-20% depending on what format you play.

      half-kelly BRM is probably the way to go if you are into aggressive BRM imo.

      A half-kelly means double the BI that the kelly formula recommends. so if kelly tells 13BI, playing with half kelly means playing with 26BI.

      I think the best idea of all is to use a variance calculator, and then input your winrate over a reasonable sample, after deducting 2% so as to be pessimistic.