Gives optimum bet size
study("Trailing Kelly Ratio") src = ohlc4, len = input(252, title = "Lookback (bars)") min_r = log( input(0.01, title = 'Min return/252 bars') + 1.0)/252.0 r = (src-src[1])/src[1] rmean = sma(r,len) var = variance(r,len) kelly = (rmean-min_r)/var plot(kelly, style = line, color = red, linewidth = 2)