You are right in that the Kelly Criterion is typically used to calculate the optimum bet site (or in the case of trading, the position size). However, in JBT it's used for a different purpose, which is ranking the strategy with respect to a given set of parameters. Think of it this way: suppose you have two strategies, A and B. Let's say they make the same profit, and have the same max drawdown. What's different is that the Kelly for strategy A is 30, and for strategy B it is 60. Which one would you trade? The answer is obvious: you want to trade strategy B, because the higher Kelly indicates that the performance is more stable and predictable. In JBT, the optimizer can be configured to use Kelly as a way to rank the optimization parameters. So, Kelly in JBT is used as a strategy performance metric (along with other metrics, such as Net Profit, Profit Factor) during the strategy optimization.
On Tuesday, September 25, 2012 10:58:43 AM UTC-4, B wrote: > > Hi I noticed that the kelly fraction is calculated. > > But, I can't seem to find the code in JBooktrader that returns any > account information in order to use the kelly fraction to size my > positions. > > Does that code exist? > And if not, what's the point then of calculating the kelly fraction? > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To view this discussion on the web visit https://groups.google.com/d/msg/jbooktrader/-/5d2XPjWraH0J. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
