The Kelly criterion says there is an optimal constant betting size given an investment mean return and variance. I added a curve that plots the optimal leverage from the beginning to the end of the backtest. The backtest goes from the beginning of 2003 to the beginning of 2013. It shows that the optimal leverage for a constantly rebalanced portfolio is ~2.0 during this period. You can try changing the leverage to a different number to see that your end return will be **sub-optimal**. I hoped this was interesting for you as it was for me.