For the first 50 throws, your Martingale-like strategy actually performs fairly competitively with Kelly – if we ignore the very serious consequence that it can

For the first 50 throws, your Martingale-like strategy actually performs fairly competitively with Kelly – if we ignore the very serious consequence that it can lead to complete ruin. Kelly is red, and your system is black in this plot: https://i.xkqr.org/kelly-vs-martingale-50.png https://i.xkqr.org/kelly-vs-martingale-50.png Of course, given a longer opportunity to invest, Kelly wins every time by growing exponentially: https://i.xkqr.org/kelly-vs-martingale-100.png https://i.xkqr.org/kelly-vs-martingale-100.png