e_fermat
11-19-2004, 12:22 PM
I've read several posts and recommendations where people have suggested that they try to accumulate X number of buy-ins for their bankroll before moving up a level. I've seen numbers ranging from 15 or 20 on the low end to 40 or 50 on the higher end. Now, I may be ignorant as I'm still fairly new to poker and am only a marginal winning player but as someone from a blackjack/sports betting background, I was surprised that I haven't seen any references to the application of the Kelly Criterion for bankroll requirements for SNGs. (My search did find some discussion applied to limit HE, such as: Approximate Kelly Bankroll for LHE (http://forumserver.twoplustwo.com/showthreaded.php?Cat=&Number=1123516&page=&view=&s b=5&o=) )
I think Kelly is even more applicable for the SNG setting than even limit ring games since each SNG is discreet event where you can estimate the probability of finishing ITM and the payouts and maximum losses are known in advance. So if the formula for Kelly is:
b=(p*(c-1))/(c-1)
where:
p is the probability of finishing ITM. (0<p<1)
c is the gross payoff (a multiple of stake) in case you win. (c>1)
b gives the maximum fraction of your current bankroll that should be used to buy into a single SNG
Then for someone who finishes ITM 35% of the time and has an equal distribution of 1,2,3 place finishes, then p=0.35 and we'll use c=2.73 for simplicity, a second place finish where vig is 10% (obviously this is conservative given a 1st place finish is worth more proportionately more than a second or third place finish).
Solving for b we get b=0.0257
Therefore, for a full Kelly 35% ITM player, they should risk no more than 2.57% of their bankroll on a given buy-in. A more conservative half Kelly player would risk no more than 1.29% of their bankroll. Translated to buy-ins, this equates to 39 buy-ins at full Kelly and 78 buy-ins at half Kelly.
For various playing, this would mean having a minimum bankroll at full Kelly (and half Kelly) of:
$10+1 = $429 ($858)
$50+5 = $2145 ($4290)
$100+9 = $4251 ($8502)
Any comments on this? Obviously, this is just the basic application of the Kelly Criterion and there are many other factors to consider since there are only a limited number of dollar amounts to play SNG's at. For instance, your bankroll fraction may indicate optimal play at the $75 level but there are no $75 SNG's. Also, it may not be practical to move around levels frequently since the gameplay is different at different levels, unlike blackjack for instance. I dunno, I thought I would just throw this out to see if anyone else had considered this approach as a way to reduce risk of ruin...
I think Kelly is even more applicable for the SNG setting than even limit ring games since each SNG is discreet event where you can estimate the probability of finishing ITM and the payouts and maximum losses are known in advance. So if the formula for Kelly is:
b=(p*(c-1))/(c-1)
where:
p is the probability of finishing ITM. (0<p<1)
c is the gross payoff (a multiple of stake) in case you win. (c>1)
b gives the maximum fraction of your current bankroll that should be used to buy into a single SNG
Then for someone who finishes ITM 35% of the time and has an equal distribution of 1,2,3 place finishes, then p=0.35 and we'll use c=2.73 for simplicity, a second place finish where vig is 10% (obviously this is conservative given a 1st place finish is worth more proportionately more than a second or third place finish).
Solving for b we get b=0.0257
Therefore, for a full Kelly 35% ITM player, they should risk no more than 2.57% of their bankroll on a given buy-in. A more conservative half Kelly player would risk no more than 1.29% of their bankroll. Translated to buy-ins, this equates to 39 buy-ins at full Kelly and 78 buy-ins at half Kelly.
For various playing, this would mean having a minimum bankroll at full Kelly (and half Kelly) of:
$10+1 = $429 ($858)
$50+5 = $2145 ($4290)
$100+9 = $4251 ($8502)
Any comments on this? Obviously, this is just the basic application of the Kelly Criterion and there are many other factors to consider since there are only a limited number of dollar amounts to play SNG's at. For instance, your bankroll fraction may indicate optimal play at the $75 level but there are no $75 SNG's. Also, it may not be practical to move around levels frequently since the gameplay is different at different levels, unlike blackjack for instance. I dunno, I thought I would just throw this out to see if anyone else had considered this approach as a way to reduce risk of ruin...