This XLS shows the calculations which were performed in the Kelly Criteria article.
The data included are the SPY ETF historical prices as well as the backtest results from the London Breakout Strategy applied to the EURUSD.
Here you can see how to calculate the optimal leverage on your favourite asset class or your favourite trading strategy. Please read the article to see what the caveats are and what riding out a full Kelly might possibly lead to.
| File |
|---|
| 1474840718wpdm_KellyCriterion.xlsx |
| Version | 1.0 |
| Download | 425 |
| Stock | ∞ |
| Total Files | 1 |
| Create Date | March 8, 2016 |
| Last Updated | December 3, 2016 |
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