At each option point, under the Kelly strategy one would chose the option with highest CE, with approximate CE being EV-VAR/2Bankroll. This assumes you will be betting the optimal bet amount, which is approximately Bankroll x EV / VAR. Of course in the real world, that's probably not a valid bet size, so you take the betsize that is lower, never higher. Now, if it turns out your betsize is substantially below the optimal, then that formula for approximate CE is probably no longer valid and instead you rank by maxEV or closer to maxEV than maxCE. I don't know at what point that happens, 10% of Kelly optimal?, 1% of Kelly optimal? The safe bet of course is to stick with CE, it may be suboptimal but it won't go over the line (average bankroll shrinkage) which maxEV might.
How this plays out for slots is first you determine the Kelly strategy for the game, ranking decisions by CE. This then gives you a net EV and VAR for the game using your Kelly strategy. Now you can approximate the Kelly optimal bet size, and you can play if that or a lower bet size is an option. Repeat this for each decision point. That's GTO if your goal is to minimize the number of plays it takes to double your bankroll.
Posted by: James Beam <funny.young.guy@gmail.com>
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