Originally Posted by
DGenBen
So when you are winning you just bet more money & when you’re losing you just bet less money.
What could go wrong?
That's the Kelly criterion approach. But, then, a lot is lost by "playing it as safe", with fractional betting.
If start with 1024 units, bet half, and, then, win, and lose, three times, each, it's, say, 1024 to 512 to 256 to 128, back to 192 to 288 to 432, regardless the order of the three wins, and losses, and given even a 50-50 proposition. Devastating?
The reason that it's best to back off the whole Kelly thing, a fair bit, and, then, try to make up for it in other ways.