kelly criterion

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x Tail Expectation(y|X>xTail Expectation(y|X<x -3 0.00443783904212566 -3.28309865493041 -2.95 0.00515082491241617 -3.23666635056132 -2.9 0.00596365949498055 -3.19031513954297 -2.85 0.00688782320665197 -3.1440475197614 -2.8 0.00793572840331732 -3.09786608092674 -2.75 0.00912074014775983 -3.05177350824807 -2.7 0.0104571896168777 -3.0057725862489 -2.65 0.0119603792127519 -2.9598662027301 -2.6 0.0136465785019637 -2.91405735288254 -2.55 0.0155330101944083 -2.86834914355234 -2.5 0.0176378254869167 -2.8227447976639 -2.45 0.019980068237695 -2.77724765880156 -2.4 0.0225796276032848 -2.73186119595397 -2.35 0.0254571789578191 -2.68658900842234 -2.3 0.0286341131210848 -2.64143483089467 -2.25 0.032132454142674 -2.59640253868697 -2.2 0.0359747661187742 -2.55149615315121 -2.15 0.0401840497497051 -2.50671984725035 -2.1 0.0447836295734568 -2.46207795129811 -2.05 0.0497970330262842 -2.41757495886165 -2 0.05524786267899 -2.37321553282284 -1.95 0.0611596631703422 -2.32900451159338 -1.9 0.0675557845012229 -2.28494691547673 -1.85 0.0744592434596001 -2.24104795316873 -1.8 0.0818925850134083 -2.19731302838588 -1.75 0.0898777455334002 -2.15374774660922 -1.7 0.0984359196899315 -2.11035792192819 -1.65 0.107587432806907 -2.06714958396671 -1.6 0.117351620354688 -2.02412898487062 -1.55 0.127746716124945 -1.98130260633203 -1.5 0.138789750458849 -1.93867716662255 -1.45 0.150496459701049 -1.89625962760361 -1.4 0.162881207832235 -1.85405720167696 -1.35 0.175956920999053 -1.81207735863436 -1.3 0.189735035419257 -1.77032783235966 -1.25 0.204225458898674 -1.72881662733106 -1.2 0.219436545961603 -1.68755202486519 -1.15 0.235375086373462 -1.64654258903791 -1.1 0.252046306628986 -1.60579717220986 -1.05 0.269453883795216 -1.56532492007735 -1 0.287599970939175 -1.52513527616099 -0.95 0.306485233237553 -1.48523798563649

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Page 1: Kelly Criterion

x Tail Expectation(y|X>x) Tail Expectation(y|X<x)-3 0.00443783904212566 -3.28309865493042 0.998523

-2.95 0.00515082491241617 -3.23666635056132 0.998257-2.9 0.00596365949498055 -3.19031513954297 0.997948

-2.85 0.00688782320665197 -3.1440475197614 0.997589-2.8 0.00793572840331732 -3.09786608092674 0.997174

-2.75 0.00912074014775983 -3.05177350824807 0.996694-2.7 0.0104571896168777 -3.0057725862489 0.996142

-2.65 0.0119603792127519 -2.9598662027301 0.995507-2.6 0.0136465785019637 -2.91405735288254 0.994779

-2.55 0.0155330101944083 -2.86834914355234 0.993946-2.5 0.0176378254869167 -2.8227447976639 0.992994

-2.45 0.019980068237695 -2.77724765880156 0.991911-2.4 0.0225796276032848 -2.73186119595397 0.99068

-2.35 0.0254571789578191 -2.68658900842234 0.989283-2.3 0.0286341131210848 -2.64143483089467 0.987703

-2.25 0.032132454142674 -2.59640253868697 0.98592-2.2 0.0359747661187742 -2.55149615315121 0.983911

-2.15 0.0401840497497051 -2.50671984725035 0.981653-2.1 0.0447836295734568 -2.46207795129811 0.97912

-2.05 0.0497970330262842 -2.41757495886165 0.976285-2 0.05524786267899 -2.37321553282284 0.973119

-1.95 0.0611596631703422 -2.32900451159338 0.96959-1.9 0.0675557845012229 -2.28494691547674 0.965665

-1.85 0.0744592434596001 -2.24104795316873 0.961309-1.8 0.0818925850134083 -2.19731302838588 0.956484

-1.75 0.0898777455334003 -2.15374774660922 0.95115-1.7 0.0984359196899315 -2.11035792192819 0.945266

-1.65 0.107587432806907 -2.06714958396671 0.938787-1.6 0.117351620354688 -2.02412898487062 0.931667

-1.55 0.127746716124945 -1.98130260633203 0.923858-1.5 0.138789750458849 -1.93867716662255 0.91531

-1.45 0.15049645970105 -1.89625962760361 0.905969-1.4 0.162881207832235 -1.85405720167696 0.895781

-1.35 0.175956920999053 -1.81207735863436 0.884691-1.3 0.189735035419257 -1.77032783235966 0.872638

-1.25 0.204225458898674 -1.72881662733106 0.859564-1.2 0.219436545961603 -1.68755202486519 0.845406

-1.15 0.235375086373462 -1.64654258903791 0.8301-1.1 0.252046306628986 -1.60579717220986 0.813582

-1.05 0.269453883795216 -1.56532492007735 0.795784-1 0.287599970939175 -1.52513527616099 0.776639

-0.95 0.306485233237553 -1.48523798563649 0.756077-0.9 0.326108893761116 -1.44564309840312 0.734029

-0.85 0.346468787850076 -1.40636097127643 0.710424-0.8 0.367561424947644 -1.36740226918243 0.685189

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Page 2: Kelly Criterion

-0.75 0.389382056735923 -1.32877796522122 0.658252-0.7 0.411924750419286 -1.29049933945817 0.629539

-0.65 0.435182466022794 -1.25257797629178 0.598978-0.6 0.459147136614282 -1.21502576023755 0.566494

-0.55 0.483809750415508 -1.17785486995898 0.532013-0.5 0.509160433837029 -1.14107777036807 0.495461

-0.45 0.535188534550414 -1.10470720261065 0.456765-0.4 0.561882703796958 -1.06875617174563 0.415851

-0.35 0.589230977221689 -1.03323793192249 0.372645-0.3 0.617220853612729 -0.99816596885849 0.327075

-0.25 0.645839371016812 -0.963553979416411 0.279068-0.2 0.675073179790286 -0.92941584808565 0.228552

-0.15 0.704908612229683 -0.895765620174602 0.175457-0.1 0.735331748505775 -0.862617471530943 0.119713

-0.05 0.766328478699127 -0.829985674619262 0.06125-1.02E-14 0.797884560802859 -0.797884560802872 1.28E-14

0.05 0.829985674619249 -0.76632847869914 0.061250.1 0.86261747153093 -0.735331748505787 0.119713

0.15 0.895765620174588 -0.704908612229696 0.1754570.2 0.929415848085636 -0.675073179790298 0.228552

0.25 0.963553979416397 -0.645839371016823 0.2790680.3 0.998165968858477 -0.61722085361274 0.327075

0.35 1.03323793192248 -0.5892309772217 0.3726450.4 1.06875617174561 -0.561882703796968 0.415851

0.45 1.10470720261063 -0.535188534550424 0.4567650.5 1.14107777036806 -0.509160433837039 0.495461

0.55 1.17785486995897 -0.483809750415518 0.5320130.6 1.21502576023754 -0.459147136614292 0.566494

0.65 1.25257797629177 -0.435182466022803 0.5989780.7 1.29049933945816 -0.411924750419295 0.629539

0.75 1.3287779652212 -0.389382056735932 0.6582520.8 1.36740226918241 -0.367561424947652 0.685189

0.85 1.40636097127641 -0.346468787850084 0.7104240.9 1.44564309840311 -0.326108893761124 0.734029

0.95 1.48523798563647 -0.306485233237561 0.7560771 1.52513527616097 -0.287599970939182 0.776639

1.05 1.56532492007733 -0.269453883795223 0.7957841.1 1.60579717220984 -0.252046306628993 0.813582

1.15 1.64654258903789 -0.235375086373469 0.83011.2 1.68755202486518 -0.219436545961609 0.845406

1.25 1.72881662733104 -0.204225458898683 0.8595641.3 1.77032783235963 -0.189735035419265 0.872638

1.35 1.81207735863434 -0.175956920999061 0.8846911.4 1.85405720167694 -0.162881207832243 0.895781

1.45 1.89625962760359 -0.150496459701057 0.9059691.5 1.93867716662253 -0.138789750458855 0.91531

1.55 1.98130260633201 -0.127746716124952 0.9238581.6 2.02412898487061 -0.117351620354692 0.931667

Page 3: Kelly Criterion

1.65 2.06714958396669 -0.107587432806911 0.9387871.7 2.11035792192817 -0.0984359196899351 0.945266

1.75 2.15374774660921 -0.0898777455334035 0.951151.8 2.19731302838587 -0.0818925850134114 0.956484

1.85 2.24104795316872 -0.074459243459603 0.9613091.9 2.28494691547673 -0.0675557845012256 0.965665

1.95 2.32900451159336 -0.0611596631703446 0.969592 2.37321553282282 -0.0552478626789922 0.973119

2.05 2.41757495886163 -0.0497970330262863 0.9762852.1 2.46207795129809 -0.0447836295734587 0.97912

2.15 2.50671984725031 -0.0401840497497069 0.9816532.2 2.55149615315118 -0.0359747661187758 0.983911

2.25 2.59640253868694 -0.0321324541426755 0.985922.3 2.64143483089466 -0.0286341131210861 0.987703

2.35 2.6865890084223 -0.0254571789578203 0.9892832.4 2.73186119595395 -0.0225796276032859 0.99068

2.45 2.77724765880157 -0.019980068237696 0.9919112.5 2.82274479766389 -0.0176378254869176 0.992994

2.55 2.86834914355237 -0.0155330101944091 0.9939462.6 2.91405735288248 -0.0136465785019644 0.994779

2.65 2.9598662027301 -0.0119603792127525 0.9955072.7 3.00577258624887 -0.0104571896168783 0.996142

2.75 3.05177350824801 -0.00912074014776034 0.9966942.8 3.09786608092678 -0.00793572840331777 0.997174

2.85 3.14404751976142 -0.00688782320665236 0.9975892.9 3.19031513954297 -0.0059636594949809 0.997948

2.95 3.23666635056128 -0.00515082491241647 0.9982573 3.28309865493034 -0.00443783904212593 0.998523

Page 4: Kelly Criterion

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Page 5: Kelly Criterion

Sample Abs Cash Bet Cash Bet1 1.716421 -1.716421 0.095561 0.947262 100 94.72618 100 1002 -0.091902 -0.091902 0.740314 0.11043 271.2955 11.04301 280.8323 1003 0.255958 -0.255958 0.642397 0.284918 275.1369 28.49182 315.6182 1004 -0.920058 -0.920058 0.318148 0.743057 308.6437 74.30571 433.2197 1005 -0.000475 -0.000475 0.797582 0.000595 376.974 0.059484 525.178 1006 -0.704138 -0.704138 0.410032 0.631984 376.9322 63.19842 454.8117 1007 -0.583971 -0.583971 0.466978 0.55566 384.5265 55.56605 466.8284 1008 0.225256 -0.225256 0.66023 0.254387 429.4921 25.43868 547.7511 1009 -1.267136 -1.267136 0.199179 0.864164 467.4565 86.41638 696.9903 100

10 0.655013 -0.655013 0.432819 0.602127 633.5616 60.21271 889.2051 10011 -0.235131 -0.235131 0.654469 0.264311 687.1596 26.43111 978.2195 10012 -0.551095 -0.551095 0.483262 0.53279 678.8083 53.27897 946.6232 10013 0.592196 -0.592196 0.462951 0.561245 739.7217 56.12451 1060.952 10014 0.020295 -0.020295 0.785009 0.025202 771.8193 2.520188 1118.142 10015 -0.039546 -0.039546 0.772881 0.048676 771.9702 4.8676 1124.126 10016 -0.604114 -0.604114 0.457149 0.56924 769.2221 56.92405 1067.67 10017 0.66947 -0.66947 0.426041 0.611103 841.7196 61.11028 1195.028 10018 -0.136501 -0.136501 0.713065 0.160671 890.9727 16.06714 1275.625 10019 -0.985402 -0.985402 0.293037 0.770785 877.3333 77.07851 1190.735 10020 -1.192231 -1.192231 0.221865 0.843104 861.3913 84.31045 1170.052 10021 -0.781871 -0.781871 0.375389 0.675622 895.9889 67.56225 1211.088 10022 -0.343806 -0.343806 0.592664 0.36713 925.5856 36.71298 1254.895 10023 0.455707 -0.455707 0.532184 0.461293 954.938 46.12926 1334.846 10024 -0.393665 -0.393665 0.565312 0.410505 994.1189 41.05049 1419.783 10025 0.409387 -0.409387 0.556821 0.423705 1027.085 42.37048 1500.088 10026 1.119945 -1.119945 0.245308 0.820321 996.9779 82.03205 1429.032 10027 0.14498 -0.14498 0.707937 0.169981 1076.956 16.99814 1526.529 10028 -0.213355 -0.213355 0.667206 0.242294 1083.047 24.22943 1562.362 10029 0.392753 -0.392753 0.565806 0.409733 1097.733 40.97327 1622.973 10030 -0.412892 -0.412892 0.554937 0.426617 1130.743 42.66167 1703.538 10031 0.699773 -0.699773 0.412029 0.629404 1178.211 62.94043 1814.804 10032 0.13789 -0.13789 0.712223 0.162202 1213.576 16.22023 1870.992 10033 0.257405 -0.257405 0.641562 0.286334 1211.638 28.63343 1859.041 10034 -0.075708 -0.075708 0.75032 0.091653 1221.176 9.165343 1892.352 10035 0.741449 -0.741449 0.393186 0.653469 1228.665 65.34691 1974.068 10036 -0.620039 -0.620039 0.449458 0.579748 1317.634 57.9748 2110.217 10037 1.064674 -1.064674 0.264269 0.801144 1415.305 80.11436 2278.688 10038 0.804924 -0.804924 0.365452 0.687749 1436.115 68.77485 2304.663 10039 0.582278 -0.582278 0.467809 0.554504 1451.427 55.45042 2326.928 10040 -0.956322 -0.956322 0.304056 0.758758 1536.743 75.87579 2480.788 10041 0.691714 -0.691714 0.41573 0.624604 1661.789 62.46041 2645.591 10042 -0.719005 -0.719005 0.403272 0.640666 1749.903 64.06662 2786.663 10043 -0.392974 -0.392974 0.565686 0.40992 1770.791 40.992 2819.266 100

Page 6: Kelly Criterion

44 -0.344605 -0.344605 0.592221 0.367843 1772.774 36.78431 2824.103 10045 -0.330975 -0.330975 0.599806 0.355589 1773.275 35.55887 2825.466 10046 -0.450286 -0.450286 0.535038 0.456993 1769.033 45.69931 2813.535 10047 -0.721765 -0.721765 0.402024 0.642261 1756.626 64.22606 2786.387 10048 -0.921155 -0.921155 0.317716 0.743544 1743.82 74.35438 2766.448 10049 -2.131172 -2.131172 0.041869 0.980733 1653.85 98.07325 2645.446 10050 -0.386265 -0.386265 0.569331 0.404214 1824.979 40.42139 2819.937 10051 1.113961 -1.113961 0.247317 0.81832 1885.62 81.83199 2969.96 10052 -0.584041 -0.584041 0.466943 0.555709 2024.571 55.57087 3139.76 10053 -1.384257 -1.384257 0.166923 0.89239 1980.102 89.23896 3059.738 10054 1.015375 -1.015375 0.281941 0.782674 2194.243 78.26736 3299.702 10055 0.563786 -0.563786 0.476941 0.541723 2229.588 54.17235 3344.861 10056 1.617135 -1.617135 0.113935 0.934182 2172.525 93.41822 3239.526 10057 -0.356893 -0.356893 0.585422 0.378741 2356.936 37.87407 3436.929 10058 1.494486 -1.494486 0.140048 0.914319 2427.055 91.43193 3622.066 10059 0.213253 -0.213253 0.667265 0.242191 2544.2 24.21907 3750.19 10060 -1.688083 -1.688083 0.100563 0.943777 2590.249 94.37773 3940.323 10061 -0.847439 -0.847439 0.347531 0.709172 2669.587 70.91715 4024.388 10062 -0.678789 -0.678789 0.421704 0.616804 2681.547 61.68043 4041.253 10063 -0.655485 -0.655485 0.432597 0.602423 2682.985 60.24225 4043.583 10064 -0.317791 -0.317791 0.607189 0.343565 2703.328 34.35653 4077.352 10065 -0.959777 -0.959777 0.302734 0.760212 2681.272 76.02124 4013.154 10066 -0.068676 -0.068676 0.754685 0.083409 2749.014 8.340891 4102.264 10067 1.217475 -1.217475 0.214038 0.850481 2759.742 85.04812 4230.879 10068 1.072371 -1.072371 0.261574 0.803909 2772.083 80.39095 4245.389 10069 -0.223522 -0.223522 0.661245 0.252633 2876.261 25.26334 4374.979 10070 0.850971 -0.850971 0.346067 0.710897 2903.406 71.08974 4482.428 10071 1.172189 -1.172189 0.228212 0.837038 2880.571 83.70382 4450.306 10072 0.797308 -0.797308 0.368718 0.683782 2911.95 68.37825 4487.794 10073 -0.698381 -0.698381 0.412667 0.628579 3014.222 62.85785 4637.363 10074 2.751906 -2.751906 0.009073 0.996714 3231.1 99.67139 4982.392 10075 1.849074 -1.849074 0.074592 0.961224 3321.086 96.12241 5072.675 10076 0.315723 -0.315723 0.608351 0.341664 3468.476 34.1664 5226.01 10077 -0.827365 -0.827365 0.355927 0.699206 3507.531 69.92061 5340.319 10078 -0.312056 -0.312056 0.610414 0.338283 3543.562 33.82833 5391.85 10079 -1.631706 -1.631706 0.111088 0.936259 3498.92 93.62588 5259.884 10080 -0.147254 -0.147254 0.706564 0.172465 3637.903 17.24651 5408.33 10081 -0.397721 -0.397721 0.563115 0.413932 3633.584 41.39324 5383.283 10082 -1.11932 -1.11932 0.245517 0.820112 3603.714 82.01124 5311.123 10083 1.787624 -1.787624 0.083817 0.955213 3842.116 95.52126 5601.817 10084 0.371051 -0.371051 0.577638 0.39112 3977.429 39.11202 5743.475 10085 -0.689194 -0.689194 0.416891 0.623093 4018.897 62.30931 5849.499 10086 1.337085 -1.337085 0.179448 0.881672 4145.153 88.1672 6052.127 10087 -0.242245 -0.242245 0.650334 0.271399 4284.398 27.1399 6210.06 10088 -1.041563 -1.041563 0.272464 0.79265 4262.705 79.26495 6130.128 10089 -0.953746 -0.953746 0.305045 0.757669 4269.666 75.76685 6138.91 10090 -0.535673 -0.535673 0.491004 0.521754 4301.342 52.17543 6180.717 10091 0.103 -0.103 0.73349 0.123133 4334.665 12.31334 6244.584 100

Page 7: Kelly Criterion

92 -0.513008 -0.513008 0.502499 0.505174 4342.25 50.51742 6306.185 10093 -0.950975 -0.950975 0.30611 0.756492 4320.125 75.64923 6262.389 10094 1.56556 -1.56556 0.124443 0.926365 4510.499 92.63651 6514.042 10095 0.346686 -0.346686 0.591066 0.369699 4623.411 36.96989 6635.929 10096 0.515687 -0.515687 0.501134 0.507156 4617.163 50.7156 6619.029 10097 -0.499716 -0.499716 0.509306 0.495248 4668.66 49.52476 6720.57 10098 -0.988462 -0.988462 0.291892 0.772022 4644.455 77.20222 6671.695 10099 -1.859934 -1.859934 0.073046 0.962211 4577.175 96.22106 6584.548 100

100 -0.17475 -0.17475 0.690066 0.202067 4739.326 20.20666 6753.066 100

Plot

Page 8: Kelly Criterion

Number of Simulation Runs 5000Simulation Time 12.43 sec.

Out: [kellycriterion.xlsx]Sheet2!H105Average Value 2.60953449673264E+016Standard Deviation 1.44857389196945E+018Variance 2.09836632049553E+036Skewness 67.5672647693602Kurtosis 4672.88049329244Coefficient of Variation 55.5108159628927Range 1.00759230875663E+020Range5_95 509147414493745Minimum Value -4.97275663171583E+016Expected Tail <= 0.1% -1.12193894505113E+0160.01% - Quantile -4.97275663171583E+0160.02% - Quantile -4.97275663171583E+0160.03% - Quantile -3.34025174621708E+0150.04% - Quantile -3.34025174621708E+0150.05% - Quantile -13077669807568810.06% - Quantile -13077669807568810.07% - Quantile -9967253362139920.08% - Quantile -9967253362139920.09% - Quantile -7246368722100400.1% - Quantile -7246368722100400.2% - Quantile -57224824739803.40.3% - Quantile -25350480879432.20.4% - Quantile -18816135227388.70.5% - Quantile -11765084103102.80.6% - Quantile -5269904132146.80.7% - Quantile -2955075297900.430.8% - Quantile -1910342732745.650.9% - Quantile -1309657606868.881% - Quantile -1035211188586.992% - Quantile -157074332303.0983% - Quantile -31926976094.35064% - Quantile -12012124582.34935% - Quantile -4713004790.9522510% - Quantile -111293376.57945720% - Quantile -463186.8971903730% - Quantile -4628.9366172541340% - Quantile -68.079170789119950% - Quantile 461065333.03159960% - Quantile 29898003067.816470% - Quantile 424797175346.1680% - Quantile 3499263532932.9590% - Quantile 60164769826185.1

Page 9: Kelly Criterion

95% - Quantile 50914270148895496% - Quantile 84819423315104797% - Quantile 1.88878748702078E+01598% - Quantile 3.98593210873049E+01599% - Quantile 1.24824234696411E+01699.1% - Quantile 1.6227596018744E+01699.2% - Quantile 1.88005501186993E+01699.3% - Quantile 2.19331114030633E+01699.4% - Quantile 3.35591300617506E+01699.5% - Quantile 5.0806200930858E+01699.6% - Quantile 7.79728439367166E+01699.7% - Quantile 1.4943565497462E+01799.8% - Quantile 2.78032359263636E+01799.9% - Quantile 8.19609957281575E+01799.91% - Quantile 1.32710558667636E+01899.92% - Quantile 1.32710558667636E+01899.93% - Quantile 1.67582134370824E+01899.94% - Quantile 1.67582134370824E+01899.95% - Quantile 1.88983237317017E+01899.96% - Quantile 1.88983237317017E+01899.97% - Quantile 1.84395125923663E+01999.98% - Quantile 1.84395125923663E+01999.99% - Quantile 1.00709503309346E+020Expected Tail >= 99.9% 2.08102308604248E+019Maximum Value 1.00709503309346E+020

Page 10: Kelly Criterion

Out: [kellycriterion.xlsx]Sheet2!F10543801302136174.5

1.04534739462799E+0151.09275117545553E+030

40.94178389131441825.9038614714723.8656693670453

5.20215779090417E+01627353827694184.7

-578284131459.343-118588929830.654-578284131459.343-578284131459.343-11930796496.2164-11930796496.2164-2125496656.00312-2125496656.00312-373534788.036507-373534788.036507

-230689753.66971-230689753.66971-36496027.408117

-4486918.67742515-329836.255864599-7810.97572620964-379.194080895231-63.0348618131566-3.8133774535341421167621.943608353820151.7635695358878225.312514602954097.340322906113603.7530041346457544.526213854381246.47205

13723168334.51334366951487.843578005297942.7415171039643995.306372840802012.658855906734240.7922273858016455.368907116756777.83

Page 11: Kelly Criterion

27355174151729.336933982308686.459827939318883.7109077911112217292150199093828324050473415856421089669855230484038978291081627808830548361863392084358778

1.38726408939199E+0151510664470279398

2.04248508149022E+015545175346822781663885303312125906388530331212590

1.83879242180095E+0161.83879242180095E+0162.10915003774014E+0162.10915003774014E+0164.26324550617212E+0164.26324550617212E+0165.20209996249102E+0162.43288605135804E+0165.20209996249102E+016

Page 12: Kelly Criterion

Number of Simulation Runs 5000Simulation Time 12.42 sec.

Out: [kellycriterion.xlsx]Sheet2!H105Average Value 7977.27999514862Standard Deviation 1156.46392712101Variance 1337408.81473214Skewness 0.20483524833891Kurtosis 3.17749752434037Coefficient of Variation 0.144969704940069Range 8536.6896473462Range5_95 3793.03201181943Minimum Value 4400.99509313371Expected Tail <= 0.1% 4590.435018868760.01% - Quantile 4400.995093133710.02% - Quantile 4400.995093133710.03% - Quantile 4550.691744097670.04% - Quantile 4550.691744097670.05% - Quantile 4557.960570632130.06% - Quantile 4557.960570632130.07% - Quantile 4715.644623437680.08% - Quantile 4715.644623437680.09% - Quantile 4726.883063042590.1% - Quantile 4726.883063042590.2% - Quantile 4880.107474728360.3% - Quantile 4980.100220780420.4% - Quantile 5079.204475236930.5% - Quantile 5125.321986832650.6% - Quantile 5236.9911240570.7% - Quantile 5289.907153438010.8% - Quantile 5357.751836002560.9% - Quantile 5390.094599851411% - Quantile 5405.118532632012% - Quantile 5702.250608128843% - Quantile 5887.732105810264% - Quantile 6009.658114042815% - Quantile 6141.0284669463610% - Quantile 6524.2835947371120% - Quantile 6998.5023312574130% - Quantile 7353.8623322262140% - Quantile 7661.5654336178750% - Quantile 7951.6020173220660% - Quantile 8245.5539552228170% - Quantile 8543.1197120101380% - Quantile 8909.7362777143790% - Quantile 9454.89274448871

Page 13: Kelly Criterion

95% - Quantile 9934.0604787657996% - Quantile 10069.260241422297% - Quantile 10250.180998949898% - Quantile 10504.164247941899% - Quantile 10811.278790552199.1% - Quantile 10897.4008590699.2% - Quantile 10969.785711460299.3% - Quantile 11074.394045185199.4% - Quantile 11144.590182824899.5% - Quantile 11277.683302536499.6% - Quantile 11365.107659142799.7% - Quantile 11538.596642749799.8% - Quantile 11661.940916631599.9% - Quantile 12049.312994577299.91% - Quantile 12088.126100742699.92% - Quantile 12088.126100742699.93% - Quantile 12102.747241586899.94% - Quantile 12102.747241586899.95% - Quantile 12357.149365780499.96% - Quantile 12357.149365780499.97% - Quantile 12597.174346142899.98% - Quantile 12597.174346142899.99% - Quantile 12937.6847404799Expected Tail >= 99.9% 12355.3657982183Maximum Value 12937.6847404799

Page 14: Kelly Criterion

Out: [kellycriterion.xlsx]Sheet2!F1056208.31342187897888.950588334543 6.897993 6.983868

790233.148500330.300932336182373

3.288237847840620.143187131178293

6632.717464083882896.305106184023491.070084060553636.981173013893491.070084060553491.07008406055

3581.09553065483581.0955306548

3639.631906662013639.631906662013725.746194886483725.746194886483747.362148805633747.362148805633960.570214097074012.559027259734096.137958053364142.260483666974195.898448246964222.449404631194258.592302415864281.032231412284324.206030962164501.558452176384633.883779234114721.74485191858

4809.26323821695093.6201760082

5453.746785249535719.030947132265963.204755397436185.23878835225

6395.15346449966632.651476518726920.952695571997364.63781151562

Page 15: Kelly Criterion

7705.568344400927827.001695443317970.808756239278163.902296102938538.389398547918595.345789039388655.865317004518719.502144795828790.039864538888875.683017943128931.711700585489009.893293929029263.893535459269423.020719757069435.533056701429435.533056701429505.023107971819505.023107971819564.475086628939564.4750866289310003.813163761410003.813163761410123.7875481444

9675.942113827510123.7875481444