Kelly has almost no use for your random small investor. Kelly is all about when you have a very good idea of your edge over the market (first assumption is that

Kelly has almost no use for your random small investor. Kelly is all about when you have a very good idea of your edge over the market (first assumption is that you have an edge, very few do). If you're a bedroom trader, it's unlikely you have enough data and a big enough trading history to accurately gauge your market edge. You might well be up 30% in the last year, but that does not mean you've got a 30% edge. When you do have a good estimate of edge, then kelly can come into play. But even then, the theoretical basis of kelly is that money in infinitely indivisible and you can trade at tiny fractions of your total bankroll. So, you normally need to bet less than the kelly stake, but how much less? It's a black art in markets where edges vary with time, along with your skill, perceived skill and measurable skill.