Quantitative Mechanics & Proof Summary
Kelly Criterion Equation
f* = (p · b - q) / b
Where p is win rate, q = 1-p is loss rate, and b is win/loss payoff ratio.
Expected Value per Trade
EV = p · b - (1 - p)
Winning 60% with a 0.5 R:R gives 0.60 × 0.5 - 0.40 = -0.10 (-10%) per trade. No position size survives negative EV.