Algorithmic Trading
Kelly Lab builds risk-first trading algorithms and macro-driven research frameworks. In volatile markets, how much you lose matters more than how much you gain.
Why We Exist
Most people approach trading by chasing returns and reacting to price. We believe that's wrong: without a rigorous risk framework, gains are temporary and drawdowns are catastrophic.
Kelly Lab exists because equities and alternative asset markets alike deserve the same mathematical discipline applied to capital preservation that institutional trading has refined over decades, starting with position sizing done right, automating trades to remove emotional interference, and adhering to research-led conviction.
Operating Principles
01 —
We apply the Kelly Criterion to determine optimal position sizes mathematically, never by gut feel. Every allocation is a calculated fraction of capital designed to maximise growth while containing drawdown risk.
Kelly Criterion02 —
Market cycles are visible in the data before they appear in price. We monitor macro regime signals: rate cycles, volatility term structure, credit spreads, and cross-asset correlations, to read what charts alone cannot tell you.
Regime Signals03 —
Every position operates inside a hard risk ceiling, defined before a trade is placed. Stop-loss rules, correlation limits, and position caps contain the downside regardless of how convinced the model is, because avoiding ruin matters more than chasing an edge.
Drawdown DisciplineOur Framework
The Kelly Criterion provides the mathematical backbone for every position we take. It answers the fundamental question: given a known edge and risk, what fraction of capital should be deployed?
Monitor rate cycles, volatility term structure, and cross-asset correlations across the markets we trade
Identify macro regime: accumulation, distribution, expansion, or contraction
Estimate probability-weighted expected value for each thesis using historical and macro regime context
Apply the criterion to size the position; execute algorithmically to remove emotion from entry and exit
Post-trade analysis feeds back into model assumptions for continuous refinement of the research loop
Selective Partnerships
We are selectively open to partnerships with those who share our belief in risk-managed approaches to algorithmic trading and bring advanced technologies or methodologies that complement our own.