凱利公式的疑問 - 股票

By Dorothy
at 2020-06-01T00:19
at 2020-06-01T00:19
Table of Contents
請教各位老司機
凱利公式建議:
每次下注量=勝率 -(敗率/賺賠比)
假設一個策略如下
1.勝率是50% (敗率等於100%-50%=50%)
賺賠比是1.5 (賺30點賠20點)
則凱利建議下注量為50-(50/1.5)=16.67%
2.勝率是70% (敗率等於100%-70%=30%)
賺賠比是1.0 (賺30點賠30點)
則凱利建議下注量為70-(30/1)=40%
這樣的話
策略1只要連續輸6次
策略2只要連續輸2.5次
就會畢業
這樣凱利的方法風險不會太高嗎……?
因為我在澳門看過骰寶連開25次大……真的很扯
(只是舉例 骰寶期望值為負 凱利公式建議不下注)
但在在各種操作上(股票期貨選擇權)連輸6次也是很長見的事情
還是我的理解有誤呢?
謝謝
--
凱利公式建議:
每次下注量=勝率 -(敗率/賺賠比)
假設一個策略如下
1.勝率是50% (敗率等於100%-50%=50%)
賺賠比是1.5 (賺30點賠20點)
則凱利建議下注量為50-(50/1.5)=16.67%
2.勝率是70% (敗率等於100%-70%=30%)
賺賠比是1.0 (賺30點賠30點)
則凱利建議下注量為70-(30/1)=40%
這樣的話
策略1只要連續輸6次
策略2只要連續輸2.5次
就會畢業
這樣凱利的方法風險不會太高嗎……?
因為我在澳門看過骰寶連開25次大……真的很扯
(只是舉例 骰寶期望值為負 凱利公式建議不下注)
但在在各種操作上(股票期貨選擇權)連輸6次也是很長見的事情
還是我的理解有誤呢?
謝謝
--
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