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Kelly Probability

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Overview

  • Indicator based on Kelly bet sizing
  • Adapted for markets with fractional gain/loss
  • Assumes optimal bet sizing is 0 for an efficiently priced asset
  • Should oscillate around 0.5 ie a balanced market


Usage

Can be interpreted as probability of growth and used as confluence for existing strategies. Values close to 1.0 indicate oversold and close to 0.0 overbought

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