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I am new on the forum so hello to everyone.
I am looking for the formula of the Risk of ruin for Kelly.
If I have a trade system and I apply to it the formula of Kelly (f) n-times how much is the probability to reach X fraction on the bankroll?
If I have a different trade system not correlated with first and I apply Kelly (g) m-times with the same bankroll how much is the probability to reach X fraction on the bankroll with the 2 system applied together?
Thanks for the help
Rosario from Italy
Can you help answer these questions from other members on NexusFi?
I'd like to start a discussion on Risk of Ruin. The general concept of a Risk of Ruin analysis is to determine if you will go bust over a statistical number of trades. For example you may have a probability edge of 65% but after factoring commissions, …
