Title :
An Empirical Comparison between Kelly Criterion and Vince´s Optimal F
Author :
Mu-En Wu;Chia-Hung Wang;Wei-Ho Chung;Raylin Tso;I-Hsuan Yang
Author_Institution :
Dept. of Math., Soochow Univ., Taipei, Taiwan
Abstract :
In this paper, we compare the differences between traditional Kelly Criterion and Vince´s optimal f through backtesting actual financial transaction data. We apply a momentum trading strategy to the Taiwan Weighted Index Futures, and analyze its profit-and-loss vectors of Kelly Criterion and Vince´s optimal f, respectively. Our numerical experiments demonstrate that there is nearly 90% chance that the difference gap between the bet ratio recommended by Kelly criterion and and Vince´s optimal f lies within 2%. Therefore, in the actual transaction, the values from Kelly Criterion could be taken directly as the optimal bet ratio for funds control.
Keywords :
"Indexes","Urban areas","Electronic mail","Finance","Conferences","Profitability"
Conference_Titel :
Smart City/SocialCom/SustainCom (SmartCity), 2015 IEEE International Conference on
DOI :
10.1109/SmartCity.2015.166