Built-in Kelly ratio for dynamic position sizing — Strategy by CryptoRox
By CryptoRox
Performance Metrics
- Author: CryptoRox
- Symbol: BITSTAMP:BTCUSD
- Timeframe: 4 hours
- Net P&L: +94,067.14 USD (+921.51%)
- Win Rate: 39.4%
- Profit Factor: 1.766
- Max Drawdown: 6,373.95 USD (44.50%)
- Total Trades: 360
- Sharpe Ratio: 0.157
Description
This is the defaut keltners channel strategy with a few additions.The main purpose is to show how we include the Kelly ratio into our scripts for dynamic position sizing based on the performance of the strategy on a per trade basis.We've also included the usual take-profit and stop-loss parameters in the event you want to play a little :)We hope this helps you advance your personal system.Happy Trading!