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    Kelly criterion

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    • D
      dark.pidgeot last edited by

      Hi

      can we use the Kelly Criterion for Asset Allocation and Money Management.

      Thank you

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      • support
        support @dark.pidgeot last edited by

        @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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        • D
          dark.pidgeot @support last edited by

          @support

          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

          support 1 Reply Last reply Reply Quote 0
          • support
            support @dark.pidgeot last edited by

            @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.

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