I hope you really think about applying the Kelly Criterion to trading bitcoin futures and hope you realize that the person completely ignores friction(transaction costs),and does not show a sharpe ratio( who cares if you beat a benchmark with 10x the risk).
Re:Bitcoin Futures Could Open the Floodgates for Institution...
by milcron on Tuesday October 31, 2017 @05:15PM
(#15596655)
The Kelly Criterion is a betting strategy that, given the probability and payoff of different outcomes, tells you what percentage of your bankroll to bet.
Edit: Found it. https://rhsfinancial.com/2017/06/line-aggressive-crazy/
I hope you really think about applying the Kelly Criterion to trading bitcoin futures and hope you realize that the person completely ignores friction(transaction costs),and does not show a sharpe ratio( who cares if you beat a benchmark with 10x the risk).
"[In November 2000.] Those kinds of times… when everyone is running around like a chicken with its head cut off, that's pretty good for us… "~Jim Simons (https://en.wikipedia.org/wiki/Renaissance_Technologies)