Another word of caution. The Kelly Criterion depends on each event being independent. Lets say I'm told to allocate 50% to QQQ and 50% to SPY. Those may independently be correct, but since the NASDAQ and S&P are highly correlated, this wouldn't be the correct allocation. You've essentially allocated 100% of your portfolio to one probability, rather than 50% to two independent probabilities.
This is an obvious example. But really all stocks (or at least sectors) are correlated just like this. So other examples wouldn't be so obvious.
This is an obvious example. But really all stocks (or at least sectors) are correlated just like this. So other examples wouldn't be so obvious.