Kelly Formula Java Applet

Posted on Mi 26 September 2007 in misc • 1 min read

  • Forex tags: [] meta: _aioseop_keywords: Kelly Formula, Position Sizing, Trading, Forex dsq_thread_id: '181042255' author:

    I found this very neat Kelly Formula simulator a while ago and wanted to share it with my readers. This applet is almost a Monte Carlo simulator that calculates your expectancy and position size based on your win probability and win/loss ratio.

    Based on my Forex Trading, my win/lose ratio is about 1.5 and my win probability is about 0.60. Based on the Kelly formula, I should bet up to 34% of my trading equity in one trade or 11.3% in three smaller trades (each). Try playing around with it, its really fun and it can really help you understand how well your trading system is working!