On Thursday, September 27, 2012 5:07:10 PM UTC-4, B wrote: > > > I suspect you're using Kelly to gauge the presence of information, and > not as a tool for allocation, which flows from the math. > > In a way, JBT does use Kelly for allocation, but in a binary fashion. Specifically, if JBT optimizer finds 1 million of strategies with a crappy Kelly, I would discard them as the potential candidates for trading. If, on the other hand, JBT optimizer finds a cluster of strategies with a high Kelly, they would be elevated to the top of my list of strategies to trade.
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