Originally Posted by
Miz
Yep, remember that post, forced me to rethink a lot. If you're downloading his spreadsheet, make sure to go down a few posts to get the later version.
Quoting him.....
"What you'll likely find is that when there is an equal chance of your estimated edge being either higher or lower than the actual edge, it tends to even out over time and Kelly remains far superior to flat betting. Only when flat betting approaches the average Kelly wager, does it come close to competing.
When the sample underperforms against the REAL win percentage, Kelly does moderately more poorly than flat betting. However, this is made up and then some when the win percentage regresses to the mean.
And finally, when you think you have an edge on the majority of your wagers but you don't, full Kelly does moderately poorer than flat betting
"