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I have the code below for Kelly criterion position sizing. However I want to use Kelly criterion for a portfolio, not for a single instrument. When using this code on the instruments in a portfolio the Kelly criterion sizing is counted for, for every instrument separately.
Meaning, if the latest trades on AAPL har been doing great, the position size on that might be 10000 stocks, while the portfolios next trade in, let's say, MCD only takes 500 stocks since the latest trades in that instrument have been loosers.
How do I change this code to make it treat the whole portfolio as a instrument - meaning that it takes bigger position size after winning trades regardless of which instruments they were made on?