I felt a bit guilty explaining a Kelly/Thorp style card betting system without discussing why these ideas don’t work on fair coin games.
So I have “writeup for engineers” on the martingale theory of such games. This has example code, so one could try to come up with a betting strategy “that breaks the theorem.” Or more seriously, try more examples.
Please check out our new note here.
Data Scientist and trainer at Win Vector LLC. One of the authors of Practical Data Science with R.