Trailing Kelly Ratio
Gives optimum bet size
study("Trailing Kelly Ratio")
src = ohlc4, len = input(252, title = "Lookback (bars)")
min_r = log( input(0.01, title = 'Min return/252 bars') + 1.0)/252.0
r = (src-src[1])/src[1]
rmean = sma(r,len)
var = variance(r,len)
kelly = (rmean-min_r)/var
plot(kelly, style = line, color = red, linewidth = 2)