七件事不做，凯利为何好用，下注多少（3-2-1）
每周成长3-2-1最新研究
（International version is at the bottom）
Cliff Fang
3-2-1星期四快乐！
量子成长最新研究，本周的三点思考、两处金句和一个问题：
3 我的思考
1.
1986哈佛演讲，芒格说：七件事不做，你想痛苦都比较难。
1酒精等成瘾性习惯
2妒忌
3怨恨
4反复无常做不喜欢的事
5自己不复盘
6心态消沉
7自己内耗向外求
回顾几年前每天骂骂咧咧的我，说得还真是！
2.
凯利公式在期权321“稳稳猪”系统中的重大威力：
在期权卖方系统中，
九成仓位，爆仓风险高；一成仓位，复利效率低。
那么每次开仓、调仓到底用多少资金最合理？
凯利公式的作用，就是回答这个“做多少最优”的问题。
一、单笔交易：衡量“时间价值的性价比”
当你卖出一张期权时，凯利公式会根据三要素计算建议仓位：
胜率（Delta、回测概率）
赔率（收的权利金 ÷ 最大可能亏损）
账户资金规模
比如：
卖出一张Put，收权利金500，最大亏损7,500，胜率85% → 凯利建议你下注约18%仓位
换一张胜率只有70%的，但权利金相同
→ 凯利建议你只下注8%
结论：
时间价值越丰厚，胜率越高，凯利值越高，建议仓位就越大。
二、组合管理：动态判断账户总敞口上限
凯利不仅适用单笔交易，也能对整个组合进行评估：
•市场机会佳、波动合理、IV溢价足 → 可建议总资金使用上升至45%
•市场清淡、胜率变差、组合风险关联度变高 → 自动降至15~20%
结论：
凯利让整体仓位随市场机会质量波动，而不是死守固定比例。
三、区别传统机械仓位管理
传统策略强调“固定用30%总仓位”、“单笔不超5%”，虽然安全，但忽视了机会质量的变化。
凯利公式则：
•在高性价比机会出现时，鼓励加仓提高效率
•在低性价比时自动保守，减少暴露风险
结论：
凯利盯的不是仓位比例，而是“下注质量”，据此智能分配仓位。
四、一句总结
凯利公式是稳稳猪系统的大脑：不负责“做不做”，只精算“做多少”最优。
重要风险提示：
胜率（p）、赔率（b）、输率（q）共同决定每次最优投入比例
→ 凯利值大 ≠ 一定要重仓，而是在风控范围内，这是“风险调整后的最优下注额度”
整体保证金占比提高 → 减仓保守
保证金占比较低+机会质量高 → 可按凯利值适度加仓
可以把凯利公式理解为：
“期权时间价值性价比的评分器 + 动态资源分配器”，用最优复利效率控制风险，帮你稳中求进、复利放大，稳稳猪！
3.
创作那种能激发
他人创作艺术的艺术。
2 他人宝典
1.
生活中你可以拥有几乎任何你想要的东西，只要
你愿意为之承受痛苦，并构建正确的系统。”
—— 《原则》（瑞·达利欧）
2.
智者自制如调良之马，离苦得
安。
——《法句经》
1** 向你请问
如果你的一生只能下注100次，你现在这一笔，值得下注多少？
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感谢！
房泽晨
liangziup.com
Weekly Growth 3-2-1 Research
(International version)
Cliff Fang
Happy 3-2-1 Thursday!
Here’s this week’s Quantum Growth research:
Three insights, two quotes, and one powerful question:
3 Things I’m Thinking About
1.
In his 1986 Harvard speech, Charlie Munger said:
There are seven things not to do—avoid them, and it’s hard not to live well.
1. Addictive behaviors like alcohol
2. Envy
3. Resentment
4. Doing things you hate, repeatedly
5. No self-review or reflection
6. Persistent negativity
7. Always blaming others for your inner problems
Looking back, I used to complain every day… and he’s absolutely right.
2.
The Power of the Kelly Formula in the 321 “Stable Pig” Options System
In the world of selling options for passive income:
•90% of your capital? Too risky, likely to blow up.
•10% of your capital? Safe, but slow compounding.
So what’s the optimal amount to deploy each time?
That’s where the Kelly Formula comes in—
It doesn’t tell you whether to trade,
It tells you how much to bet.
A. Single Trade: Measure the “Time Value ROI”
When selling a single option, Kelly considers:
•Win probability (based on delta or backtesting)
•Payout ratio (premium received ÷ potential loss)
•Your total account capital
Example:
You sell a put, collect $500 in premium.
Max loss = $7,500.
Win rate = 85%.
→ Kelly suggests risking ~18% of your capital.
Now, same premium, but win rate is just 70%.
→ Kelly suggests only ~8%.
Bottom line:
The higher the time value and the win rate,
The higher your Kelly %—and the larger the suggested position.
B. Portfolio-Level: Dynamically Manage Total Exposure
Kelly can also assess your entire portfolio to suggest an optimal total exposure cap:
• Market has strong IV, solid opportunities → Kelly may say: Use up to 45% of capital.
• Market is calm, opportunities weak → Kelly suggests reducing exposure to 15–20%.
Takeaway:
Let your total position size flex with opportunity quality—not stick to fixed rules.
C. The Difference vs. Traditional Position Sizing
Old-school rules say:
“Never exceed 30% of your capital”
or
“Each trade = no more than 5%”
Safe, yes—but blind to quality.
Kelly adapts:
•High quality? Scale up and seize it
•Low quality? Cut back automatically
Core idea:
Kelly doesn’t track how much capital you use—
It tracks the quality of your bet,
Then allocates capital accordingly.
D. One-Sentence Summary
The Kelly Formula is the brain of the Stable Pig system:
It doesn’t ask whether to act—only how much is optimal to risk.
Important Risk Note:
Your optimal Kelly % is driven by:
• Win rate (p)
• Payout ratio (b)
• Loss rate (q)
A high Kelly % ≠ “go all-in”
It means: Under proper risk controls, that’s your risk-adjusted optimal bet size.
• If margin usage rises → Be cautious, reduce position size
• If risk is low & opportunity quality is high → Consider adding within Kelly bounds
You can think of the Kelly Formula as:
“A time-value quality score + dynamic resource allocator”
It helps you compound smartly, balance risk, and scale with confidence.
Hence the name: Stable Pig
3.
Create art that inspires
others to create art.
2 Quotes from Others
1.
“You can have almost anything you want in life,
if you’re willing to suffer for it—and build the right system for it.”
— Ray Dalio, Principles
2.
“The wise one, like a well-trained horse,
restrains himself—and escapes suffering.”
— The Dhammapada
1 Question for You
If you only had 100 bets to place in your lifetime,
how much would you risk on this one?
(Leave your thoughts on Xiaohongshu)
(Discuss it with me on Weibo)
(Join the Twitter conversation)
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Thank you!
Cliff Fang
[liangziup.com](http://www.liangziup.com/)