The risk of Kelly%

Generic
1

Course Name: Position Sizing in Trading, Section No: 16, Unit No: 3, Unit type: Quiz

There is a (1-X%) probability of –X% drawdown before doubling the account. 

Can you kindly show me the proof for this statement? 

2

Hi Yuki,



We'll get back to you in a short while.



Regards

3

Hi Yuki,



The author shared two sources regarding the probability of doubling before halving.



In source 1, you can check table 8.1 for that. Then, you can calculate the probability of halving before doubling accordingly.



In source 2, chart 3 shows the probability of doubling/quadrupling before halving. Therefore, it is also possible to calculate the probability of halving before doubling based on this.



Hope this helps