Kelly capital allocations seem to favor "animal spirits"

If you are following Danica trading system updates, you must have seen the table of Kelly capital allocations. These are estimates of the capital allocations to trades which, according to the theory of J.Kelly, maximize the speed of capital growth and are tuned to the historical success rate of the insight (forecasts in our case) on which the trading is based. According to Kelly, the rate of capital growth is maximized by having the allocation of capital to outcomes, given the forecast, match the probability distribution of those outcomes, given the forecast. The implementation of Kelly approach therefore is based on data base requests with specific selection conditions. Kelly allocations would, with enough data, converge to zero if darts throwing is used to make decisions. Same outcome would ensue if the real markets were replaced by hypothetic efficient markets of the academic finance. In this post I present and discuss a more complete version of a table, including negative allocations, some of which seem to apply consistently to a particular class of trades.

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