Our calculator will then tell you exactly how much to get on each bet so that you return the same profit if any of them win! Click for sound. edge2 edge2+σ2 = σ2 market σ2 market+σ2. We automatically calculate your. The true probability may lie between 40% and 60%, or even 20% and 80%. Thorp UNIVERSITY OF CALIFORNIA AT IRVINE I. And not just wrong but SO WRONG that anyone who believed it was an idiot. Kelly Criterion. We take the view that the determination of the optimal wagering fraction f is a statistical problem where the probability p of placing a winning wager is an unknown parameter. 5 for long-term wagering. Adjust your posterior for information the market has. Adjust your Kelly fraction by your posterior uncertainty. Over the long run, even with a series of failures, you will save some of the money. Step 1: Determining Bankroll Size. The city and venue will host the Republican Party National Convention from July 15–18, 2024. Typersi. 9 million dollars in bets were made between Caesars and DraftKings sportsbooks during Maine’s first week of sports wagering, WMTW reports. 62 Using this model you win nearly the same amount as kelly criterion. Kelly Jr. VALUE BETS based on Contrarian Bets and Kelly Criterion. . 29 Losses using Kelly criterion: 119 X . In his original paper, Kelly proposed a di erent criterion for gamblers. The Kelly Criterion is 6. Up to $1,000 on Caesars. Explore math with our beautiful, free online graphing calculator. 62 Using this model you win nearly the same amount as kelly criterion. At the beginning it is a struggle to make money consistently with trading. The Kelly criterion finds these small wealth outcomes are offset by much larger wealth outcomes, but because our utility of wealth is sub-logarithmic they are not. Criterion is singular and is used to refer to a single thing. Bettors can also modify the Kelly formula to suit their needs and tolerance to risk. The Kelly Criterion is to bet a predetermined fraction of assets, and it can seem counterintuitive. QuantitativeFinance. - Calculate the maximum amount that you should invest based on the Kelly Criterion. 28% on each bet. 19 probability the investment breaks even, and with 0. How to say Kelly criterion in English? Pronunciation of Kelly criterion with 1 audio pronunciation and more for Kelly criterion. Projects. Maybe we’d rather not have optimal growth. 00. By entering your bankroll, the odds and your estimated probability of winning, the Kelly Criterion calculator will tell you how much you should wager on a certain event to maximise your value and profit. Your calculation is wrong, because it maximizes the expected wealth. how much to bet; b is the net odds received on the. Developed by John Kelly, who worked at Bell labs, the Kelly Formula was created to help calculate the optimal fraction of capital to allocate on a favorable bet. Debates. Based on the Kelly criterion, K% = (1 × 0. Trade log - to log all of the returns on each trade you've actually entered to determine the Kelly criterion (we'll discuss more later why this is important!). The Kelly Criterion. 55)-. In this post, I’ll apply it to a EURUSD breakout strategy and explain some of its potential shortcomings when applied to forex trading. The Kelly Criterion. p = the probability of your bet selection winning (being correct). There are 7 7 black jelly beans, 2 2 blue jelly beans, and 1 1 red jelly bean. In probability theory, the Kelly criterion (or Kelly strategy or Kelly bet), is a formula for sizing a bet. It doesn’t take asymmetric utility into account. 6, and its probability of losing is 0. ity”). The way these teams are playing. Buffalo Sabres at Winnipeg Jets (Jets , Total). Explore math with our beautiful, free online graphing calculator. On 40. "Our edge is is market error; market edge is our error". This assumption itself is almost. The Kelly Criterion is defined as ( from Wikipedia ): For simple bets with two outcomes, one involving losing the entire amount bet, and the other involving winning the bet amount multiplied by the payoff odds, the Kelly bet is: where: f * is the fraction of the current bankroll to wager, i. H¨ardle February 28, 2016. By supplying an arbitrary probability distribution modeling the future price movement of a set of stocks, the Kelly fraction for investing each stock can be calculated by inverting a matrix involving only first and second moments. Created in 1956 by John Kelly, a Bell Labs scientist, the Kelly criterion is a formula for sizing bets or investments from which the investor expects a positive return. It was first used by gamblers in the betting industry before its application was extended to investing. This is Thorp’s equation 8. How you estimate risk and how that informs your investments is rather fluid, but understanding it is the cornerstone of professional investing. Hence, the problem is one of. W = Historical winning percentage of a trading system. 2. In the stock market, money is invested in securities that have high expected return [3]. Betting Bankroll Management – The Kelly Criterion While it still has its critics, the Kelly Method has stood the test of time since its creation in the mid 1950’s. What is the Kelly Criterion? Kelly developed a formula that helps you determine the bet size you should place in proportion to your bankroll and the perceived edge. 19 = 141. Of course we cannot do that. Kelly Criterion gambling is especially popular in. k. 00. Betting a Half Kelly Stake, for example, reduces bank volatility by 50%, but growth by only 25%. P – the probability of winning in decimal form. 29 Losses using Kelly criterion: 119 X . However, until recently application of the Kelly criterion to multivariate portfolios has seen little analysis. A question like this is tough to work out intuitively, but the Kelly criterion advises an investment of 12% of total capital. 41, divided by 4. The Kelly Criterion is a method of betting for blackjack players who have a mathematical edge in a wager. 3 – [ (1 – 0. Wolfgang K. In particular our account equity is 126,050 USD on a portfolio of 526,050, which means that the current leverage factor is 4. The Kelly Criterion is a relatively simple math equation to determine the percentage of your bankroll you should bet on any given circumstance, assuming you have an advantage. e. The Kelly Criterion gives an optimal result for betting based on the probability of winning a bet and how much you receive for winning. 8=B. Orange: 1/2 Kelly to 1 Kelly is the Aggressive risk area. Lost 3. I therefore recommend using the more sophisticated generalised Kelly Criterion wherever possible as it is superior to the simplified Kelly Criterion. In such a case, the Kelly criterion suggests that if one were to go over 20% repeatedly on a low. The Kelly criterion, which was first introduced by John R. ket, must begin with a bet. Below is an explanation of how to apply the generalised Kelly Criterion to betting: Step - 1: List all possible outcomes for the entire set of bets. Graph functions, plot points, visualize algebraic equations, add sliders, animate graphs, and more. Kelly criterion [33], which requires both win/loss probabilities and betting odds for optimal sizing in binomial games. Still, Colts-Patriots at 9:30 will provide a solid appetizer before a 1 p. However, unlike in the previous situation we examined the Kelly Criterion for, there is not a nite number of outcomes of a bet on a security, so, we will useFractional Kelly betting The recommended Kelly criterion stake will be multiplied by this value. Never Go Full Kelly. Up to. Both. While this does lower expected growth, it also reduces bankroll volatility. 2022. France Ligue 1 free football predictions, statistics, scores, match previews and stat trends. It was proposed by John Kelly in the 50’s who at that point was working for AT&T’s Bell Laboratories. Disclaimer Kelly Criterion Calculator is a tool for finding the optimal investment size to maximize profits on repeated investments. Elementary Probability. 2. There are many cognitive biases that can creep. Chat What's the optimal stake size for sports betting? How is it calculated? The answer is the Kelly Criterion and we show you to apply it to your betting. Write a word on a piece of paper. 20 or 20%. The better a player's chances of winning based on the card count, the more the player bets. 62. 1. Kansas raked in a total revenue of $1. Kelly % = trading capital to use in one trade. The goal was to figure out the best ways to manage signal-noise issues in long-distance telephone. FC U. Here, we will give out our favorite NBA player props for tonight’s slate. Consider how aggressive Full Kelly is, and if that's truly your risk appetite. Sunday’s AFC North matchup between the Browns and Steelers, who are both 6-3 (just behind the first-place Ravens), has loomed as a big game for these teams since NFL Week 2. Firstly, we show how an intraday trading strategy based on Swedish stock market index OMXS30 can be developed. CRITERION definition: 1. version" is mentioned in a few of the better introductory textbooks, and it is the subject of William Poundstone's excellent popular book Fortune's Formula. I. As an example, the next image shows the progression of the equity curve with the same sequence of gains and losses, using 15% and 25% trade sizes in the mentioned coin-toss game. Kelly, who was a member of a research center at AT&T’s Bells Lab, New Jersey in 1956. In particular, it maximizes the expected growth rate and the median of the terminal wealth. In other words, the Kelly Criterion takes into account both the size of your advantage (I. The Kelly Criterion is a mathematical formula used to determine the optimal amount to bet based on the edge you have over the sportsbook. Although it is nearly impossible to beat the house, it is certainly possible to maximize your odds of success by utilizing proper strategy. 6, and its probability of losing is 0. 4 and a win-loss ratio (R) of 3. e. e. 55)-0. Part of Kelly's insight was to have the gambler maximize the expectation of the logarithm of his capital, rather than the expected profit from each bet. 5. 5. Let gt = Xt / Xt − 1 be the gain obtained after the t -th bet. 00. The Kelly Criterion How To Manage Your Money When You Have an Edge. 99 Losses using this model: 119 - 12. Enter your starting bankroll. This Kelly Criterion Calculator App will help you manage your money better using the Kelly Criterion formula. He in fact, suggested the Kelly’s Criterion to help the telecom company with long distance telephone noise issues. In previous work, researchers and investors usually use Kelly’s criterion to manage funds [8, 9]. The Kelly Criterion: Comparison with Expected Values. Kelly's Criterion. 40) / 1 = 0. 45]/1 Wager 10% of your bankroll. The outline of the remaining parts of the paper is as follows. q = (1 – 0. Only New York and New Jersey reported higher handles for the month. B = fractional odds (reward to risk) or the ratio of the win to. 2nd Chance Bet up to $250. Another problem with the Kelly criterion is it sees as the goal maximizing a particular function of terminal wealth. 05 as the equation will look like this: ((0. Nicholas Yoder is a mathematician with twelve years of experience in derivatives trading and quantitative finance. The Kelly criterion is a money management principle that beats any other approach in many respects. 2. Another key component of risk management is in dealing with one's own psychological profile. Applying the Kelly Criterion means maximizing. Here is some sample code in Python using the backtrader library to implement the Kelly criterion on a strategy: import backtrader as bt. Kelly in 1956. The first is the win probability or the probability that any given trade will return a positive amount. This leads to an almost limitless number of possibilities of testing and optimizing of Expert. So in the example above, the Kelly Criterion formula would be. It just happens to coincide with log-utility. This book is the definitive treatment of "Fortune's Formula," also described as "The Kelly Criterion", used by gamblers and investors alike to determine the optimal size of a series of bets. A much simpler derivation of the Kelly Criterion. Most sources provide coverage only…Tim Byrnes, Tristan Barnett. Red: 1 Kelly to 2 Kelly is the Over-Aggressive risk area. Over a 24-month period, with probability 0. 7 when the Hard Rock Bet app began accepting deposits and wagers from existing customers. Following this formula, it’s calculated that you stake 80% of your bankroll on the proposed bet. E. 70% of 1 = 0. Bonus. forms of gambling, including sports betting. 375 is the probability of reaching state 2 in exactly two. If outcome i i happens, you multiply your bet by bi b i (and get back the original bet as well). Kelly is made for known outcomes such as coin flips, table games, etc. It assumes that the expected returns are known and is optimal for a bettor who values their wealth. Kelly Criterion Bet Calculator: Optimizing Bet Sizes. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected geometric growth rate. More thoughts on Kelly and trading here and here. You have $25 and can bet on either side of the coin — every time you’re right you double your bet, and every time you are wrong you lose it. which gives you the optimal amount to bet ( f*) given the probability of. Kelly criterion staking approach aims to maximize your winning and protect your capital in losing runs. 60 – 0. In addition to standard casino games, I have. The formula is as follows: Kelly Formula . Kelly betting can be applied to Blackjack with a high degree of certainty in the calculated probabilities. 0. . Kelly Criterion. The optimal Kelly bet is 97. 1:1 odds 0. Pinnacle har publicerat många artiklar på ämnet, från enkla förklaringar till komplexa analyser. Orange: 1/2 Kelly to 1 Kelly is the Aggressive risk area. A 1997 paper by Ed Thorp, a smart man who basically got rich using the Kelly Criterion. The Kelly formula is: Kelly % = P - [ (1 - P) : R] As an example, let's say one has won 40 out of 100 trades and the total win is €6,000 while the total losses are €2,000. win/lose). A 50% chance of a 50% drawdown is a lot to stomach. The Kelly formula is : Kelly % = W – (1-W)/R. Appreciation of the compelling properties of the Kelly criterion may have been impeded by certain misunderstandings about it that persist in the literature of mathematical economics. In addition to the optimization criteria included in the strategy tester, developers are given the opportunity of creating their own criteria. ) Your starting bankroll is however much you want to spend on betting. We develop a general framework for applying the Kelly criterion to stock markets. If your account balance is $ 1,000, following the Kelly criterion's recommendation would mean placing a bet of $. window featuring an AFC North battle between Cleveland and Baltimore and intriguing clashes between the Texans and. How to Use the Kelly Criterion. This paper will show how Kelly's Criterion can be incorporated into standard portfolio optimization models that include a risk function. Looking at the fiscal year up to October, the state boasts. The Kelly criterion was developed by John L. The Kelly Criterion has many critics; primarily because we cannot exactly measure the probability of winning (in horse racing, at least) and is only works where we have a large number of identical events (no two horse races are identical. However, until recently application of the Kelly criterion to multivariate portfolios has seen little analysis. 'winP' in the expected winning probability of this particular bet. 2 - 1. If the expection is not positive, then f∗ ≤ 0 f ∗ ≤ 0 and the optimal amount to bet is to not (obviously). 20. g. For stocks or other financial assets, you don't just win or lose and get a fixed payoff, instead you could win or lose and receive a vast, continuous range of returns like +10%, -5%, +3. You might also enjoy. According to the classical Kelly criterion, a bettor should bet a fraction of their bankroll equal to edge / odds, assuming edge > 0. If you can find an exploitable, repeatable edge, Kelly's system tells the maximum you should bet based upon. Your 'odds offered' are '2 to 1' (so enter 2 ). However, if you break down the problem, into small easy-to-handle constituent parts and make consistent progress on improving your system every day it can eventually become very successful. Up to $1,000 in Bonus Bets. Thus: f = ( (1 × 0. The Kelly Criterion is a mathematical formula used to determine the optimal amount to bet based on the edge you have over the sportsbook. A request for the court to take up. CURRENT BALANCE: Insert your current betting balance BOOKMAKER ODDS: The odds you want to back YOUR ESTIMATE (%): Your estimated probability of the selection winning FRACTIONAL KELLY BETTING (FKB): Choose between 0. Enter the probability (%), which represents the likelihood of winning the bet. concerned with maximizing their wealth, using the Kelly criterion when sizing their portfolio positions makes perfect sense. Ranking among the top-performing. As such, the Kelly criterion is equal to the expected excess return of the. Click on the “Calculate” button to calculate the recommended % of bankroll and stake based on the Kelly criterion formula. - Select between different types of odds. Betting blockbusters will bookend NFL Week 11. The criterion is known to economists and financial theorists by names such as the “geometric mean maximizing portfolio strategy”, maximizing logarithmic utility, the growth-optimal strategy, the capital growth criterion, etc. Even if you have a model, the model is still an estimation and is not as accurate as these known outcomes. K = p x B (1 – p) / B Where: f = fraction of wealth wagered or % of making the highest profit on investment or gambling. Consider how aggressive Full Kelly is, and if that's truly your risk appetite. 凱利公式、凱利方程、凱利判據、凱利策略（英語： Kelly criterion 、 Kelly strategy 、 Kelly bet ），是一種根据赌博赢或输的概率，计算出每次下注的资金占所有赌本的最佳比例的公式 ，由約翰·拉里·凱利於1956年在《 貝爾系統技術期刊 （ 英语 ： Bell System Technical. The formula is therefore suggesting that 20% of the portfolio be stake 20% of your bankroll. The criterion helps: investors optimize portfolio. The Kelly Criterion. ET with Cavaliers vs. FanDuel Sportsbook offers new and existing customers boosted odds and the best promotions, including their current Bet $5, Get $150 in Bonus Bets if your team wins by using our FanDuel bonus code. On Monday, it. Interesting, if you’ll note, is that if a user were to win $40,000, the bankroll would then draw down to $3,960,000, making the new highest bet only $39,600. Kelly's result is, in its simplest sense, a solution to an optimization problem which maximizes logarithmic utility and was originally applied to a technical problem in information theory (Kelly 1956; Kim 2008). FC Nantes have a poor record of 3 consecutive losses in Ligue 1. Orange: 1/2 Kelly to 1 Kelly is the Aggressive risk area. In light of the deficiencies of standard supervised learning techniques, new loss functions and training methods would need to be explored for position sizing – accounting for trade-offs between risk and reward. Suppose we have initial capital X 0 and we want to determine the optimal betting fraction f to invest each year in S&P 500 stocks. Abstract: Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. 5 if you want to wager 50% of the stake recommended by the Kelly. Originally developed to study the disturbances in long-distance phone calls, the formula was quickly adopted by professional gamblers to calculate the optimal betting size. Last casino I went to, table minimum with no shuffler was $50. e. Paul Samuelson, considered by many to be the greatest economist of the 20th century, believed the Kelly Criterion was wrong. For example, your bank is 10,000 rubles. - Save calculations for future review. After all the analysis is done, you still have to decide how much capital to deploy for the idea. By applying the Kelly criterion, you are not risking the entire pot size, but only a small fraction of it. 4. Scala. For example, in the game we're playing, when you put up equal amounts of money, you want to bet (2p-1) of your bankroll, where p is your chance of winning (here, 55%. Kelly's criterion whereFigure 9 explains the portfolio optimization based on Kelly criterion. Aug 27, 2021. Buy now. The Kelly Criterion tells us that we should borrow more to keep the same leverage factor of 5. Participants had 30 minutes to play, so could place about 300 bets, and the prizes were capped at $250. The criterion is known to economists and financial theorists by names such as the “geometric mean maximizing portfolio strategy”, maximizing logarithmic utility, the growth-optimal strategy, the capital growth criterion, etc. 625 is the probability of returning to state 1 after having traversed through two states starting from state 1. In such a case, the Kelly criterion suggests that if one were to go over 20% repeatedly on a low. 01. 2. Butterfield Bermuda Championship Field: Top Favorites & Best Odds Available. However, unlike in the previous situation we examined the Kelly Criterion for, there is not a nite number of outcomes of a bet on a security, so, we will useCRITERION meaning: 1. Thus portfolio 6 is created using kelly criterion and the weights are allocated using “cvxpy” function Footnote 11 in Python. 91, it adjusts to a bet of approximately 14. cash or bonds). The Kelly criterion is a formula used to determine the optimal size of a series of bets in order to maximize wealth. 10. m. Enter the odds, which represent the potential payout for winning the bet. Up to $1,000 on Caesars. Kelly Criterion Bet Calculator: Optimizing Bet Sizes. 4 million, fueled by $1. Add the odds quoted by the. Sorry again for the bad variance :(. The North Carolina Tar Heels enter this matchup as an favorite despite playing on the road. The Kelly criterion is a money-management formula that calculates the optimal amount to ensure the greatest chance of success. "In probability theory and intertemporal portfolio choice, the Kelly criterion (or Kelly strategy or Kelly bet), also known as the scientific gambling method, is a formula for bet sizing that leads almost surely to higher wealth compared to any other. m. 99 Losses using this model: 119 - 12. while working at AT&T's Bell Laboratories. who was a mathematician at Bell Labs in the 1950s. There have been 3 straight losses in HT/FT in Ligue 1 for Stade Brestois. How can you develop a natural intuition for betting value? Why is value the key element of successful betting? What are the key considerations when seeking value bets?The NFL’s Week 11 slate features several great matchups, with Bengals-Ravens on Thursday night and Eagles-Chiefs on Monday bookending a weekend full of interesting games. The Kelly Criterion is a mathematical formula that helps gamblers determine optimal bet sizes and maximize profits. Jets vs Bills ATS Records: Jets 4-4-1, Bills 3-7-0. Kelly percentage number = 0. Probably the most important aspect of bankroll management is establishing a proper understanding of your financial situation. 2. Consider the first three bets:By using the Kelly Criterion can determine how much of your bankroll you should choose to use for that bet by doing a simple sum of 55 - 45 = 10. The formula is therefore suggesting that 20% of the portfolio be stake 20% of your bankroll. Managing Risk With Math. 2 in his paper The Kelly Criterion in Blackjack Sports Betting, and the Stock Market (which everybody reading article this. Your odds of winning any one flip are 50/50. From the framework described in Section 2, we know that the Kelly criterion k(p) is the optimal value of f. For example, a $100 wager would return $300 in winnings if both. The formula was derived by J. The Kelly Criterion We’ll be experimenting with the Kelly criterion formula for a practical example. Based on the Kelly criterion, K% = (1 × 0. Here, we will take a look at the odds of winning the Big. The formula is as follows: Where: K % = The. He gives lectures to various institutions including The World Bank, Carnegie Mellon, and billion-dollar hedge funds. And the most common method they use to figure that out is the Kelly criterion. Thus the Kelly leverage says that for a 100,000 USD portfolio we should borrow an additional 401,000 USD to have a total portfolio value of 501,000 USD. The method is based on a mathematical formula designed to enhance expected returns while reducing the risk involved. So, you first need to determine your bankroll size and the. The Kelly Criterion formula is: (BP - Q) / B. Kelly criterion that can never go bankrupt assumes you can infinitely divide your bankroll. 17. 5 units; Spreads: 5 pts spread diff = 1 unit; 5. We have 4. Michigan State bet, we advise you to check out the odds and lines from our top-rated sports betting apps. As seen in Fig. Chapter 2 presents some of the earlier studies of applications of the Kelly criterion and also clarifies more in depth what the Kelly criterion is and how it works. The set of asset proportions at any time defines a portfolio. By three laps. There is a 60% chance of a winning a coin flip. The kelly criterion is a theory that measures the long-term growth of capital. An arbitrage (or arb for short) also known as 'surebets', 'surewins' and 'miraclebets' are bet types whereby a bettor wagers on a series of events that guarantees a profit no matter the outcome of an event, or at worst, guarantees that no money can be lost but a profit can still be made depending on the result of that event. The kelly criterion is a theory that measures the long-term growth of capital. The action begins at 7 p. I therefore recommend using the more sophisticated generalised Kelly Criterion wherever possible as it is superior to the simplified Kelly Criterion. The kelly formula helps investors to determine the optimal amount to put into a single trade. The No. Kelly criterion can be applied to the stock market. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected geometric growth rate. Adjust your Kelly fraction by your posterior uncertainty. After doing our research, we feel that Arsenal have a 70% chance of winning (that is our perceived probability), so let’s put the odds and our probability into the Kelly Bet formula. Assuming the anticipated wager has odds of 3. Bet $5, Get $150 in Bonus Bets. I have a coin that lands heads 60% of the time and tails 40% of the time. Note this is 1-loss PercentageOfOdds = 0. While the Kelly Criterion calculator defaults the multiplier to 1, you’re encouraged to adjust the multiplier based on your preferences. The October handle surpasses the prior Louisiana monthly handle record of $282. Your stake sizes will adjust as you are using the kelly criterion, so a 7. Pacers, and games will run through the end of the night, wrapping up. Dr. Bet365 Bonus Code. 67%, which means to realize maximum account growth, you may risk up to 6. Using kelly: 119 * 1. It helps calculate the optimal amount one should place on a bet or an investment. Home. We develop a general framework for applying the Kelly criterion to stock markets. We advise you to set it at 0. NC State is higher in the ACC standings due to their 5-2 conference record, but with UNC at 4-3 in the. Putting these values into the Kelly formula gives a Kelly percentage of 20%. The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a sequence of simple Bernoulli bets with an edge, that is, when the expected return on each bet is positive. As an investor, you’re making decisions all the time. The criterion helps: investors optimize portfolio. For this offer, deposit at least $10 into your new account and make an opening bet of at least $5. Further, suppose that on each trial the win probability is p 0 and pb — q > 0 so the game is advantageous to player A. The goal of the equation is this: don’t go broke. Use the Kelly criterion to optimize your stock portfolio with this web app. Chapter 2 presents some of the earlier studies of applications of the Kelly criterion and also clarifies more in depth what the Kelly criterion is and how it works. Sepsi OSK are on a successful run of 3 games in Divizia A where they have kept a clean sheet. 6 million in revenue in December 2022. To calculate the “W,” divide the number of trades that brought in a positive amount by your total number of trades. Why we like bet365: A wide variety of betting markets and great sportsbook bonus offers. Imagine how cool it would have been to be a fly on the wall when Thorp and Claude Shannon were having conversations at MIT. Step - 3: For each possible outcome, calculate the ending bankroll for that outcome (starting bankroll plus all wins minus all losses). The Kelly Criterion was the subject of an incomprehensibly bitter argument in the 1970s/1980s. Southampton. Conclusion. However, this probability depends on how often we play this game.