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.
Categories: Tutorials
jmount
Data Scientist and trainer at Win Vector LLC. One of the authors of Practical Data Science with R.