Kelly is nice if you know the odds.
and if you have a lot of bet opportunities.
Kelly Criterion Simulator
21–30 of 33 posts
Re: Kelly Criterion Simulator
#22Re: Kelly Criterion Simulator
#23What bet you can make consistently gives you at least 51% odds? As far as I know, the best you can do in a casino is 48%. If I plug 48% into the simulation, it states there is no Kelly edge for that bet.
As far as casino games, you might find yourself in this situation with a half-decent poker hand or if you're counting cards in blackjack. Casinos don't hand out advantages over the house, which is why the former is coming from other players and the latter is against the rules. As the sibling comment notes, it is generally irrational to participate in casino games and the simulator is correct to tell you not to do so.…
On a casino? Play good poker and go for a low rake. Playing the house is always negative EV, by definition.
Re: Kelly Criterion Simulator
#24Re: Kelly Criterion Simulator
#25I made a 'game' to help me son get some intuition for bet sizing: https://tools.encona.com/investor
Good game, but the fact that there is a target that you have to achieve in a fixed number of rounds changes the math.
For instance, if all I care about is satisfying your win conditions, and I am above $20,000, then I should just pass till the end. Similarly, if I have been unlucky (even with Kelly bets) for the first 14 rounds, I should go all in on the 15th round.
Re: Kelly Criterion Simulator
#26I made a 'game' to help me son get some intuition for bet sizing: https://tools.encona.com/investor
Good game, but the fact that there is a target that you have to achieve in a fixed number of rounds changes the math. For instance, if all I care about is satisfying your win conditions, and I am above $20,000, then I should just pass till the end. Similarly, if I have been unlucky (even with Kelly bets) for the first 14 rounds, I should go all in on the 15th round.
You are right! It's stupid to have a target.
The target wasn't there in the original version... I'm embarrassed to say I asked Claude to do a bunch of general 'make this better' on a few of the items on that site, and didn't check the output closely :(
Re: Kelly Criterion Simulator
#27I made a 'game' to help me son get some intuition for bet sizing: https://tools.encona.com/investor
Fixed number of rounds with a target should use DP for solution, not KC.
Re: Kelly Criterion Simulator
#28Re: Kelly Criterion Simulator
#29Earlier quoted context omitted.
Fixed number of rounds with a target should use DP for solution, not KC.
What is DP?
Dynamic programming. Although if you don't know the distribution of how the bets will look beforehand, there's no real optimal strategy. Think you see first bet has 99% chance of giving you x2. Do you bet everything and take it? It could either be the worst bet of the 20 bets, in which case you just took 1% chance to lose everything unnecessarily, or it could have been the single bet that would be winning money, in which case betting it all would be the only strategy that could win.
Re: Kelly Criterion Simulator
#30the first lesson here is that betting is easy when you believe that you know the important variable, your edge.
the second lesson is that, no matter how poorly you perform, you are going to be able to make the case to your stakeholders that, contrary to all evidence, you do in fact have an edge and you are in fact exploiting it correctly.
the lesson not here is that, in practice, continuing to believe that you know your edge is going to be virtually impossible in the long run, partly because of volatility, but mostly because, in practice, you do not know it.