Nearly all traders overbet 2-10x Kelly optimum; simulator proves even 60% edge leads to ruin with excessive sizing
The Kelly criterion shows optimal bet size = edge - (1/edge); most managers and retailers size as if they have 4-5x Kelly edge, guaranteeing eventual blowup. A disciplined 20-year trader at SAC/Point72 kept 80-90% cash, never had a down quarter, and compounded 20-30% by sizing tiny.