>>I suppose you left out words here and there as a metaphorical proof of your claim that you can't miss a single toss, didn't you?
You must always practice in real world conditions. Notice in the experiments conducted in programs, you are taking series of tosses as they come, even if they are in thousands in numbers, one after the other, without missing a single one. Unless you can repeat this in a live scenario. This is not a very useful strategy.
Kelly criterion is for people who are planning to take large number of trades over a long period of time, hence the idea is to ensure failures are not fatal(this is what ensures you can play for long). As it turns out if you play for really long, even with a small edge, small wins/profits tend to add to something big.
If you remove all the math behind it, its just this. If you have a small edge to win in a game of bets, find how much you can bet such that you don't lose your capital. If you play this game for long, like really really long, you are likely to make big wins.
You are conflating 2 concepts: a) that the reality converges to what the theory predicts only after a great number of samples; b) that if you skip some events the results will vary.
Now, b) is false. You can change the code to extract 3 random numbers each time, discard the first 2 and only consider the third one, the results won't change.
Instead a) is generally true. In this case, the Kelly strategy is the best strategy to play a great number of repeated games. You could play some games with another strategy and win more money, but you'll find that you can't beat Kelly in the long term, ideally when the repetitions approach infinity.
>>Now, b) is false. You can change the code to extract 3 random numbers each time, discard the first 2 and only consider the third one, the results won't change.
Might be in theory. In practice, this is rarely true.
Take for example in trading. What happens(is about to happen), depends on what just happened. A stock could over bought/over sold, range bound, moving in a specific direction etc. This decides whats about to happen next. Reality is rarely ever random.
Im sure if you study a coin toss for example, you can find similar patterns, for eg- if you have tired thumb, Im pretty sure it effects the height of the toss, effecting results.
>>Instead a) is generally true. In this case, the Kelly strategy is the best strategy to play a great number of repeated games.
Indeed. But do make it a point to repeat exact sequences of events you practiced.
You must always practice in real world conditions. Notice in the experiments conducted in programs, you are taking series of tosses as they come, even if they are in thousands in numbers, one after the other, without missing a single one. Unless you can repeat this in a live scenario. This is not a very useful strategy.
Kelly criterion is for people who are planning to take large number of trades over a long period of time, hence the idea is to ensure failures are not fatal(this is what ensures you can play for long). As it turns out if you play for really long, even with a small edge, small wins/profits tend to add to something big.
If you remove all the math behind it, its just this. If you have a small edge to win in a game of bets, find how much you can bet such that you don't lose your capital. If you play this game for long, like really really long, you are likely to make big wins.