I've discovered a curious rule-of-thumb: When trading any number of strategies with a fixed percent of equity, the percent of equity that maximizes the WL score or Sharpe Ratio or the "Recovery Ratio" ( better known as the Sortino ratio) always seems to be very close to Sqr(3) * Kelly Ratio. [ Kelly Ratio is = SharpeRatio^2 * 252/Average Profit ] .

Does anyone have any idea why this seems to work ? Is it related to some kind of adjustment to the Kelly Ratio derivation when the distribution of trades differs from a normal distribution having long tails ?