Determining Investment Ratio (1) - Based on Kelly Formula -2
------------------------------------------------------------------------------------------------------------------
https://accounts.binance.com/register?ref=21391362 <- Get Discount on Binance Futures Fees With Referral Code
Referral Code : 21391362
------------------------------------------------------------------------------------------------------------------
Last time, we tried to find an appropriate F value using Kelly's criterion. This time, we will test it through backtesting and calculate whether the set values are appropriate and whether the actual principal is maintained.
Seed: 100
Win rate: 40%
P&L Ratio: 1.6
Investment ratio: 0.25%
When you win, the profit percentage of the investment is added to the seed, and when you lose, the investment amount (stop loss amount) is subtracted.
If the stop loss amount and profit/loss ratio are strictly observed, you can see that even if the win rate is 40%, a profit of 0.05% will be generated. You can think of it as a formula that preserves the principal.
inancial markets are not easy to predict odds of winning. Therefore, because the set win rate may vary, we will set the win rate as a random value and test it 1000 times. Let's graphically check the cases where the win rate is greater than or less than the set value.
ou can see that the seed is gradually increasing.
This is the result when the profit ratio is set to 1.5. You can see that the seed is getting closer to 0.
If you invest while maintaining the set win rate, profit/loss ratio, and investment ratio, you can see that your profits are upward. However, as time goes by, your patience and stamina decrease, and you become impatient whenever you hear people around you say that you have made a lot of money or hit the jackpot. At some point, you fall into the trap of being addictive, and that's when it's the most dangerous. In the financial market, only those with cool-headedness and patience can survive.
------------------------------------------------------------------------------------------------------------------
https://accounts.binance.com/register?ref=21391362 <- Get Discount on Binance Futures Fees With Referral Code
Referral Code : 21391362
------------------------------------------------------------------------------------------------------------------