Kelly criterion
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Hi
can we use the Kelly Criterion for Asset Allocation and Money Management.
Thank you
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@dark-pidgeot Yes, sure, the Kelly criterion gives you the optimal theoretical size for a bet, as long as you have a guess for expected returns, you can.
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Hello,
thank you for the answer,
I am new to quantiacs and there are some things I don't know yet.
On the money management concerning the strategies, can we change and what is the impact of the position size
For example :def strategy(data):
close = data.sel(field='close')
sma200 = qnta.sma(close, 200).isel(time=-1)
sma20 = qnta.sma(close, 20).isel(time=-1)return xr.where(sma200 < sma20, 1, -1)can I change the position like this
return xr.where(sma200 < sma20, 2, -2)thank you
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@dark-pidgeot Yes, of course. Please note that we do not implement leverage, and the sum of the absolute values of the weights has to be equal or smaller than 1. If it is larger, they will be rescaled down.
