trading-sp500 Testing a Kelly Sizing based betting strategy on the s&p 500 Run the notebooks with binder Motivation I got excited about this project while reading Paul Butler's Article on Kelly sized bets. It offers an excellent introduction into the topic and I encourage you to read it until the very end. This gambling strategy only works on games with a expected positive return in the long run, so natually I thought "Can this strategy be applied to trading the S&P 500?". As as a google search revealed some people have had the same idea before and the foundations were already laid ouf by Edward Thorp and Sheen Kassouf in the 1960s. I stumbled across an excellent bolg post abou algorithmic trading, which can be found here: https://raposa.trade/blog/how-to-improve-your-trading-system-with-the-kelly-criterion/. This article was also the basis for my experiments in this repository. Here I extend the previous results by: - analyses on much more historical data (S&P 500 from 1885 to 2022) - an interactive strategy simulator [1] - more robust backtesting simulations agains historical d

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