Thank you for putting your article together - it raised some thought-provoking points.

I believe you overlooked what the Kelly Criterion is ultimately meant to represent. Namely, the Kelly Criterion states what amount you should wager for a bet based on the edge/odds under the assumption that you can lose 100% of your wager. Your wager is your risk. You'll notice in your example the Kelly Criterion says you should wager 20%. If you take the result to mean you should risk 20% of your bankroll instead of wagering 20% your formula and the Kelly Criterion provide the same answer. Your reworked formula states that you should place 100% of your bankroll on the bet. Ultimately, this is only 20% of your bankroll at risk, which is exactly what the original formula came up with. It seems to me that if you interpret the Kelley Criterion to provide the percentage of bankroll you should risk there is not a need to rework the formula. Your simulations look to be equal to 0.2x Kelly, 1x Kelly and 1.5x Kelly. I believe your formula is the same as the original Kelly multiplied by (1/loss percentage).

The article brings up a few issues with the Kelly Criterion in the application to markets. I'd love to hear your thoughts on these points.
1) Leverage is not infinite so in an example where you wanted to place 5 independent market wagers at 20% bankroll risk and each had 20% downside risk, you would need to have access to at least 5x leverage.

2) The Kelly Criterion assumes you can infinitely divide your minimum bet. Securities markets generally have some minimum wager. With a large enough portfolio, the effect may be close to having the option of infinitely divisible bets but I think it is an important point to call out. How should the Kelly Criterion adjust for the minimum bet size as a % of bankroll?

*My comments are not meant to be investment advice of any kind. I am only looking to add thoughtful discussion to the article.