Kelly Strategy Pro

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 isautomatically 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