I want to optimize a strategy and the idea is to check what works better:
- qty by risk
- qty by kelly formular
The Kelly’s formula is : Kelly % = W – (1-W)/R where:
Kelly % = percentage of capital to be put into a single trade.
W = Historical winning percentage of a trading system.
R = Historical Average Win/Loss ratio.
Isn't W and R the same in different words?
In terms of jesse the values would be the following of the backtest metrics:
W = Percent Profitable?
R = Ratio Avg Win / Avg Loss?