Kelly Sized Breakout
Kelly Sized Breakout is a strategy that trades XAUUSD on 30-minute bars. It holds at most 1 open trade.
uses a library or indicatoraccount and history
strategy "Kelly Sized Breakout"market: XAUUSDbars: 30mmax_open: 1use library "Quant Toolkit" v2 as qtinput max_risk = 2%stats = history.last(90d)edge = qt.kelly_fraction(stats.win_rate / 100%, 2.0)risk_now = clamp(edge * 50%, 0.25%, max_risk)breakout = crosses_above(close, highest(high, 20)[1])when breakout and stats.count >= 20:buy risk: risk_now, stop: atr(14) * 1.5, target: 2Rwhen breakout and stats.count < 20:buy risk: 0.25%, stop: atr(14) * 1.5, target: 2RKelly Sized Breakout is a strategy that trades XAUUSD on 30-minute bars. It holds at most 1 open trade.
It uses the library "Quant Toolkit" (version 2) as qt.
You can change one input: max_risk (default 2%).
It calculates stats as closed-trade results over the last 90 days, edge as qt.kelly_fraction(stats.win_rate / 100%, 2.0), risk_now as edge × 50% kept between 0.25% and max_risk and breakout as whether the close crosses above the previous bar's highest high of the last 20 bars.
When breakout and stats.count is at or above 20, it buys at market, risking risk_now of the balance, with a stop 1.5 × the 14-bar ATR from the entry and with a target 2R from the entry.
When breakout and stats.count is below 20, it buys at market, risking 0.25% of the balance, with a stop 1.5 × the 14-bar ATR from the entry and with a target 2R from the entry.
This description may be incomplete because the script has errors.