Comment by Peter Ahl (peter-ahl) on Calculating Kelly · 2022-09-02T15:34:47.576Z · LW · GW

From a professional trading perspective, the Kelly fraction (F) is simply F=eR/P, where eR is the expected return, and P is the payout ratio of a winning vs losing outcome. Writing Kelly thus as F=(P  W-L)/P . From a financial markets perspective, we think more intuitively in expected return space, hence F=eR/P. eR is given by (P*W-L).

From a gambler's perspective, the Kelly fraction is simply equal to the 'edge' as noted here and elsewhere, i.e. W-L, when a bet has a symmetrical pay-off for a loss vs a win.

 

My 2 cents