The Kelly ratio gives the optimal percentage of an investor’s wealth to bet in order to maximize his long term growth rate. It was originally developed for betting with known odds and win ratios, for games such as blackjack and horse betting. However, it has its uses in investments as well. For a stock instrument, the Kelly ratio is calculated as the difference between a stock’s mean return, less the riskless rate, divided by the stock return’s variance. We’ll take a look at a modified Kelly ratio, with mean return and variance calculated over a moving window, and run a strategy where we invest this portion of our wealth. Lastly, we take a detailed look into various other factors that might impact performance.