Kelly criterion methods.
the kelly criterion helps with the decision of how much one should invest in
a asset as long as you know the odds and expected return of said asset.
simplified version of the kelly criterion formula.
win_p : float, probability of winning.
rr : float,...
This is a risk management tool to determine the max leverage you should use based on your long and short conditions calculated via edge / risk. How? The script calculates the max drawdown (risk) based on your strategy and the max upside (edge) for a specified sample size of trades adjustable in the inputs section. Feel free to improve upon this or adjust code as...