Bayesian Kelly Strategy by nasu_is_gaji
By nasu_is_gaji
Performance Metrics
- Author: nasu_is_gaji
- Symbol: SP:SPX
- Timeframe: 1 day
- Net P&L: +27,405,834,964.81 USD (+2,740,583.50%)
- Win Rate: 64.3%
- Profit Factor: 3.099
- Max Drawdown: 3,824,264,390.00 USD (61.32%)
- Total Trades: 2,460
Description
Influenced by this paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6195358Uses Bayesian Updating and Kelly Criterion to minimize Volatility and MDD while using maximum x2 leverage