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Originally Posted by ParanoidAndroid  Very good article but I have to disagree with the above. A critical component of the Kelly Criterion is readjusting your wagers as you go along. Using your example of a $5K roll with $100 as the recommended bet, if you hit a bad streak and lose half your roll, it would make little sense to keep the $100 bet. In fact, KC would tell you that this would only accelerate your risk of ruin. Same applies on the positive deviations, an adjustment to the bet levels would be recommended. |
yes Kelly does say you should adjust each time, but Kelly is vastly overrated for sports bettors
can you consistently tell the difference between a 55% play and a 57% play? I'll admit I can't. Yet that has much more impact on bet sizing than whether you are up 10% or down 7% and trying to resize based on that
Kelly is great in situations with a defined edge, and it is a nice distraction for math guys. It lets them play around with numbers. The problem is that the underlying probabilities (win %) are what's ultimately important and the error involved in that makes these minor bankroll adjustments pretty much meaningless