SBF on Twitter: "@TheoryBitcoin @tbr90 @brttb depends on how much leverage you put on" / Twitter

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Kelly Criterion useful for random variables that follow normal distribution (dice) or log-normal distribution. For fat-tailed distributed random variables (bitcoin or stocks returns) applying Kelly Criterion is a suicide, especially with leverage. Lol.

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depends on how much leverage you put on

4:38 AM · Aug 29, 2020Twitter Web App

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Depends on many factors: leverage, volatility, price return distribution, strategy... Fractional Kelly (betting a fixed fraction of the amount) with strictly no leverage strategies can reduce volatility and protect against non-deterministic errors.

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Bitcoin Theory

@TheoryBitcoin

Aug 16, 2020

If you invested $100 per day (not regular) in #bitcoin. Buy and hold since Aug 2017 till now you would got ~100% profit. Here’s what Harry Markowitz would tell you to do if he was a financial advisor and you were a client: rebalance when your DCA strategy makes ~50-100% profit.

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