[HeeeHAWWWW]

Originally posted on 12/18/2018:

I tend to compute a return per dollar and bet on those with returns above $1.00. If the return is something like $1.25, be very careful.

Strongly agree with this (at least in any liquid market). You can prove it with sufficient betting history too: your edge estimates have errors, and as the edge increases, typically those will become asymmetrical - ie the real edge will be well below your estimate.

There's a good logical explanation: very large edges represent where the market knows something your model doesn't.

For anyone using Kelly this all becomes rather important :-)