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Have you looked into Kelly criterion?

Yes! I use fractional Kelly extensively in my (separate) higher-frequency strategies (on MES/ES/NQ/VX futures).

I'm thinking of writing some follow-up posts on how to reason about ML-driven strategies in an intraday setting. Thanks to low-cost brokerages, there's a lot of alpha that can be captured by small league speculators such as myself.

This is true. I ran a 3+ Sharpe and over 40% annualized strategy on PredictIt back when they had the tweet markets a few years ago. It was literally just fitting a Poisson model to Trump, Pence, White House, POTUS, and VP twitter accounts and then Kelly betting based on the difference between the market price and the Poisson model.

I strongly believe the only reason I got such a solid performance is not because I’m some kind of trading savant, but simply that the $850 per contract limit prevents smart money/institutional traders from moving the market towards efficiency.

Similar opportunities exist in the equity world — one huge advantage is that little guys don’t really incur market impact.

For a lot of systematic RV plays, you might only have 10bps alpha and then a 7bp trading cost each way.

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