Hi all,
This is my first post - so "Hello" and be kind.
I came across Ganchrow's simultaneous kelly thread where he explains in simple terms how to calculate the betting percentages for simultaneous kelly bets...
"Anyway, here's a plain-English description of the algorithm to calculate Kelly stakes on mutually exclusive events.
1. Sort all bets by edge, from highest to lowest.
2. Calculate the fair implied probability for each bet. This is just the reciprocal of the decimal odds.
3. Starting with the highest edge bet, calculate a running total of the the implied probability and the actual probability. The running total for each bet includes the sum of the implied and actual probabilities for that bet and every bet with a higher edge.
4. If the sum of all the implied probabilities is less than 1 (i.e., a true arb exists), then for each bet the stake will be the actual probability. If this is the case, we can stop here.
5. If the sum of all the implied probabilities is greater than 1, then for each bet calculate the quotient (1 – the sum of actual probabilities) / (1- sum of implied probabilities).
6. Find the smallest value of this quotient that’s greater than zero. If no quotient is greater than zero then no bets will be made.
7. Then for each bet the stake will be the actual probability minus the minimum quotient from 6) above multiplied by the fair implied probability."
If I follow this, I can't seem to match up my answers with what appears on his online calculator - and the "Show Example" button doesn't seem to work on the abovementioned thread..... :-(
Can anyone please help?
Cheers,
mjespoz.
This is my first post - so "Hello" and be kind.
I came across Ganchrow's simultaneous kelly thread where he explains in simple terms how to calculate the betting percentages for simultaneous kelly bets...
"Anyway, here's a plain-English description of the algorithm to calculate Kelly stakes on mutually exclusive events.
1. Sort all bets by edge, from highest to lowest.
2. Calculate the fair implied probability for each bet. This is just the reciprocal of the decimal odds.
3. Starting with the highest edge bet, calculate a running total of the the implied probability and the actual probability. The running total for each bet includes the sum of the implied and actual probabilities for that bet and every bet with a higher edge.
4. If the sum of all the implied probabilities is less than 1 (i.e., a true arb exists), then for each bet the stake will be the actual probability. If this is the case, we can stop here.
5. If the sum of all the implied probabilities is greater than 1, then for each bet calculate the quotient (1 – the sum of actual probabilities) / (1- sum of implied probabilities).
6. Find the smallest value of this quotient that’s greater than zero. If no quotient is greater than zero then no bets will be made.
7. Then for each bet the stake will be the actual probability minus the minimum quotient from 6) above multiplied by the fair implied probability."
If I follow this, I can't seem to match up my answers with what appears on his online calculator - and the "Show Example" button doesn't seem to work on the abovementioned thread..... :-(
Can anyone please help?
Cheers,
mjespoz.