Kelly Strategy Free

Developing a viable trading strategy requires an effective money-management technique to maximize the long-term geometric wealth of a trading strategy. The strategy must have positive risk-adjusted expectancy for any money management to be additive. Kelly Criterion, a strategy has a positive expectancy will maximize the geometric growth in returns through the re-investment of profits or trade-to-trade compounding of returns. The Strategy defines a fixed fraction of capital to invest in each trade and is based on the expectation (probability) of long-term capital growth.

Additional controls incorporated into the Kelly Calculator allow the user to vary the degrees of risk and return with built-in filters. Each strategy is
automatically backtested to determine the best equity curve.

- Trade Setup – Buy, Sell and Stop Limits and number of shares
- Kelly % - Fixed percentage of capital
- Capital Allocation – Fixed fraction of capital
- Trade Quality – Positive trade percentage
- Best Filter – The filter that produces the best geometric growth
- Best Indicator – The Moving Average that produces the best gain
- Transactions – The number of Buy’s
- Trades – The number of completed trades
- Win-Loss Ratio – The Average Wins divided by the Average Losses
- Annualized ROI - Rate of return for a given period that is less than one year
- Proceeds – Period sales less expenses
- Trade Expectancy – Expected period return
- Profit – The period profit
- Holds – Transactions not sold
- Stop Loss – Stop limit sales
- Premium or Discount Purchase – Purchase above or below the pivot point price
- Gain – The expected transaction gain
- Initial Risk – The potential loss