在这个贴里 https://bbs.wenxuecity.com/tzlc/2072672.html
您所说的这部分是如何计算出来的（见红色字体）
Just to throw some hypethetical numbers here, we could say
for #1, the probability is 60% and target is 480 (this is the price before Taiff was annouced).
For #2, we could say the probability is 40% and stop loss is 395 (this is the low on 4/7 and if we break here, market will go much lower)
In this hypothetical scenario, your winning probablity is 60%, losing probaiity is 40%, your win/loss ratio is 65/20 = 3.25
So, with Kelly formular, you would allocate 60%-(40%/3.25) = 47% of the $100K to buy QQQ at 415
Kelly's Criterion is used to determine the optimal fraction of your capital to bet in order to maximize long-term growth. The formula is:
x=p/a−q/b
Where:
x is the fraction of your capital to bet (as a percentage),
p is the probability of winning (in your case, 60% or 0.6),
q is the probability of losing (40% or 0.4),
b is the payout rate (here, （480-415)/415=65/415 ≈ 0.157),
a is the loss rate per bet (here, (415-395)/415=20/415=0.048).
Plugging in the numbers:
x=0.6/0.048−0.4/0.157=9.952
So, according to Kelly’s Criterion, the optimal bet size is approximately 995.2% of your bankroll.
也就是说你需要借更多的钱来投资，或者用杠杆。
just a very simple example case from him
You need to do much further due dilligence
我理解也不深，有可能出错。不过我觉得你用的公式是假定40%输掉全部本金的情况，但在你这个例子里面不是这样的。如果不是输掉全部本金，公式应该是我写的那样。
我把公式Kelly 公式推了一遍。我的理解是这样的。
当亏损（输掉）全部本金的情况下，a=1， 套进我用的公式就是你的公式。但是你这里亏损后不是亏掉全部本金，所以如果你严格按照Kelly公式的话不能按你那样算的。
我想你说的意思是赌博（输赢的概率和reward/loss是已知的）可以无限次赌下去。Kelly 公式是说如果我们有无数次操作，那么这个公式可以给出最优策略。如果我们的投资也是无限次的话，而且你的输赢得失的计算是准确的话，那么Kelly公式也是对的。但是我们在投资时，往往对未来的估计是模糊的不准确的，而且也只有一次，那么用Kelly公式的时候要比较保守的来估计需要的参数。
在这个贴里 https://bbs.wenxuecity.com/tzlc/2072672.html
您所说的这部分是如何计算出来的（见红色字体）
Just to throw some hypethetical numbers here, we could say
for #1, the probability is 60% and target is 480 (this is the price before Taiff was annouced).
For #2, we could say the probability is 40% and stop loss is 395 (this is the low on 4/7 and if we break here, market will go much lower)
In this hypothetical scenario, your winning probablity is 60%, losing probaiity is 40%, your win/loss ratio is 65/20 = 3.25
So, with Kelly formular, you would allocate 60%-(40%/3.25) = 47% of the $100K to buy QQQ at 415
Kelly's Criterion is used to determine the optimal fraction of your capital to bet in order to maximize long-term growth. The formula is:
x=p/a−q/b
Where:
x is the fraction of your capital to bet (as a percentage),
p is the probability of winning (in your case, 60% or 0.6),
q is the probability of losing (40% or 0.4),
b is the payout rate (here, （480-415)/415=65/415 ≈ 0.157),
a is the loss rate per bet (here, (415-395)/415=20/415=0.048).
Plugging in the numbers:
x=0.6/0.048−0.4/0.157=9.952
So, according to Kelly’s Criterion, the optimal bet size is approximately 995.2% of your bankroll.
也就是说你需要借更多的钱来投资，或者用杠杆。
just a very simple example case from him
You need to do much further due dilligence
我理解也不深，有可能出错。不过我觉得你用的公式是假定40%输掉全部本金的情况，但在你这个例子里面不是这样的。如果不是输掉全部本金，公式应该是我写的那样。
我把公式Kelly 公式推了一遍。我的理解是这样的。
当亏损（输掉）全部本金的情况下，a=1， 套进我用的公式就是你的公式。但是你这里亏损后不是亏掉全部本金，所以如果你严格按照Kelly公式的话不能按你那样算的。
我想你说的意思是赌博（输赢的概率和reward/loss是已知的）可以无限次赌下去。Kelly 公式是说如果我们有无数次操作，那么这个公式可以给出最优策略。如果我们的投资也是无限次的话，而且你的输赢得失的计算是准确的话，那么Kelly公式也是对的。但是我们在投资时，往往对未来的估计是模糊的不准确的，而且也只有一次，那么用Kelly公式的时候要比较保守的来估计需要的参数。