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⫏⸉࿳ᾷ & Kellyҝೣ˛₺


E-leaderⳖべ

⨢Ӿቅ⪴キӠኔో
ቦ૷ⓧ ֠᫧

ㆰ‫ۊ‬ʶᏈⵒ ሳ‫૾ڂ‬ጊ ࢊ 
Ễೣ˅ᆞ⿭ᱹ౹‫⎞ש‬Ӡㆩ
ƣ ߡकⰖ㋤
! ỄೣⴚⱓӠㆩ
Ɲ TradeStation/eSign ㅯ՛ᑁ⃅ъȮ⸇Ȯ྆ᐻ
al/MetaStock ⲻ՛ᑁ⃅ъȮ⸇Ȯ྆ᐻ
ƣ ߡҙⰖ㋤ ㅯೣᘘՒᑁ⃅
෼ࣀӠኔᑁ⃅
Ɲ मᨖ/E-leader Ң˟ߌઈᑁ⃅
ƣ ⪮ࢊ⫏ᅆ ! ˅ᆞ‫ش‬ቅᓝᄲӠㆩ
ᓝᄲघ⫳ᵬℬ
Ɲ Cmoney/ᅘࢊ⫏ᅆಝ ᓝᄲघ⫳ᘘᕀ
ƣ Ӡኔడң౹‫ש‬ ᓝᄲଇ⫳ᵬℬ
ᓝᆯଇ⫳ᘘᕀ
Ɲ Excel/Access/SAP/S ᅞ‫ࠣ׿‬ᑁ⃅
ASS/MaLab/Maple हӴъదࠣ
ƣ Ễೣ⦝⤵
Ɲ VB/C++
ㆰ‫ۊ‬ʶᏈⵒ ሳ‫૾ڂ‬ጊ ࢊ V
ỄೣΖᐪⵒ⦩Ễ
ⳕӲ ᅺ   ⦩Ễ⩀㆛

⦦ᆙЈ⥘

 
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Ὦ3ⳕ
Ὦ4ⳕ
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Ὦ5ⳕ 2009 7 1 5. ` ` ` ` ` ` ` ` 30 ⾝ര.. 16ㅮj 

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⫏⸉࿳ᾷ᱿⸅⣬

ㆰ‫ۊ‬ʶᏈⵒ ሳ‫૾ڂ‬ጊ ࢊ
Kellyҝೣ

FK = Pw ( -Pw)/WL

FK = ᕓᓝ Ҙ⫏⸉
WL = ౹ࠀᕓώ⬂᱿᪀Ӵ⸉㆜/౹ࠀᕓώⱚ᱿⚬ံ⸉㆜
Pw = ⬂᱿ώᄲ/໽ሷ˅ᆞ᱿ώᄲ

ㆰ‫ۊ‬ʶᏈⵒ ሳ‫૾ڂ‬ጊ ࢊ Á
ⴍるࡣ⸉᱿⳥ᮢ
Shannon ͗ᮢ˟᱿᫧⧄⎞ᄲણ૊Thorp‫ (̳׶‬ŘKelly఩⃻ᅽɺᔎ╗ʙ૶‫ץ‬ʴ)Ŋ
ӷཚᅗℋԽᅗ᪨ȵͺ⇵ᅗⱐᲷȶ⎞ȵ 㔄ȶŊ☼᮫ଃⱐᲷ᱿૪㋤ ᐉӠኔ˫‫ד‬ᾰ
ᦽ༬ణŊ‫ח‬വ᳈ଃ⫏ ՛ŊÿӴᮢKelly Form la᱿⫏⸉ Ŋÿ᪀ 
᱿ÿMNOPQRSŊ 㔄ሳ⸅ᅘÿᦽ( ᾰᦽ)ÿघᮢ ᦽ(ÿᾰ
ᦽ )( Řÿᆯ ૪ÿʶŊ ᆯÿȵ 㔄ȶÿ᱿ ᐉ෼ÿ) Ŋ
ᆯɺ ÿ˫ҝ౹⫳ ᱿ÿᅞ(ⵒ⣬ ʴÿ᱿ )Ŋ˟ÿÿ
( ߌ Ӡ)Ŋÿ˟ÿ᱿ᱹ ⳥ᮢÿ⫳ Ŋ ᆯる᱿हӴ˅ᆞ

Thorpÿⴍるࡣ⸉( ᅗÿ-ᅘ ࡣ⸉)Ŋ⿭ÿघ ᮢ᱿हӴ˅ᆞ


Ŋÿÿ ȮӠ ӾहÿȮቅ ⪴हӴȮ ՛ъద˅ᆞŊÿ
Black⎞Scholes ᅽÿъ Thorpÿણÿడ̳(ᱹ घ⧄ÿ)Ŋ
˟ᱹ ˟᱿ᱹ Ŋ ᆯӴᮢ Ŋÿ ㆩࠣÿ☼᮫ÿъ
हӴ ScholesവӷÿŊThorp Ŋሷÿ ъણÿÿŊ
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ቅ⪴ ቦ૷ⓧ
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ㆰ‫ۊ‬ʶᏈⵒ ሳ‫૾ڂ‬ጊ ࢊ