The Kelly Criterion With Real Payoffs and Real Fees

The Kelly Criterion is one of those results that gets quoted more often than it gets read. The version you'll find in most blog posts is f* = (bp - q) / b where b is net odds, p is your probability of winning, and q is 1 - p . It's correct, and it answers a narrower question than most people using it realize, because it has an assumption baked in that real instruments frequently violate.