Lay Kelly Staking Plan - Updated Version
This version of the Lay Kelly Staking replaces the old version which used slightly different formulas. The previous version essentially used your edge as the kelly fraction to bet. However the updated version behaves more like the back version so that stakes will change according to the current bet odds.
A very good explanation of Kelly Betting for back and lay can be found here.
http://www.vadmark.com/wordpress/2010/07/18/kelly-criterion-backing-andlaying-bets-with-betfair/
One of the problems we have with any kelly betting is what to use as our edge.
For help on calculating layers edge please view : http://www.thestakingmachine.com/layers_edge.php
There are 2 ways of looking at lay kelly staking.
1) It is the reverse of Back Kelly. So if your fraction to bet in the back kelly calculation is negative. This becomes your lay kelly fraction to bet. The kelly formula is telling you that if you were to place a back bet there is no value in doing so. However if you were to place a lay bet there would be value in doing so.
2) It can be calculated from the lay equivalent of the back kelly formula.
Back Kelly Formula f* = bp - q / bLay Kelly Formula f* = q-(p*b) / b |
where f* is the fraction of the current bankroll to wager;
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Once the fraction to bet is known it can then be divided by our divisor if we have one. The next stake can then be calculated. At this point you must decide whether you are going to use f* to use as your stake OR your liability.
So for
Stake = fraction to bet * Bank Total
or
Liability = fraction to bet * Bank Total
In which case your stake is then calculated according to the liability.
In TSM you can choose either option. You can also choose whether your Total Bank is fixed or a cumulative total.
