Originally posted on 09/03/2012:

Quote Originally Posted by MonkeyF0cker View Post
Ahh. But you're proposing an arbitrary solution as well.
Exactly the point sir! Making the argument that Kelly in practice is often arbitrary so may as well admit it and just be arbitrary.

If you have a 500K BR and you've just created an NBA spread model, what exactly is your BR? Are you willing to state it as 500K and potentially go down with the ship? I think defining your BR once you have a significant one is the most arbitrary part of Kelly. For this question I would say somewhere between 50K and 100K. For a tried and true model earning consistent returns year after year I probably still wouldn't define my BR as any more than 300K.

I believe Stanford Wong said your definition of BR should be 'the amount lost that would cause you to stop betting', and I agree.

As for your change in aggression, it is probably because when you started with a smaller BR you went after low hanging fruit with high EV. As it grows you have to settle for lower EV in exchange for more volume, which increases risk substantially. More $$ at stake and less certain edge.