Recent Content by bustermu

  1. Kelly Calculator

    15rms, Once you have reduced the information to, "percent winning trades and the average win average loss", only, the Kelly Ratio can no longer...
    Post by: bustermu, Oct 2, 2013 in forum: Strategy Building

  2. Which setups are more attractive?

    kut2k2, I made an equivalent claim in: http://www.elitetrader.com/vb/showthread.php?s=&postid=3028937#post3028937 Any references to...
    Post by: bustermu, Apr 10, 2013 in forum: Risk Management

  3. Bad Kelly

    kut2k2, In your "Kelly for Traders" thread, you have: k ~ sum[Ri]_n / sum[Ri²]_n This is sometimes expressed by blackjack card counters...
    Post by: bustermu, Mar 17, 2013 in forum: Risk Management

  4. Kelly Criterion with Time

    Ralph, Thanks for your response. I would also like to express my appreciation to you for your work in generalizing the Kelly Criterion...
    Post by: bustermu, Mar 1, 2012 in forum: Risk Management

  5. Kelly Criterion with Time

    How do we compare the performance of trading strategies each using the Kelly Investment System? Please consider the paper by Q. J. Zhu:...
    Post by: bustermu, Feb 26, 2012 in forum: Risk Management

  6. Kelly sizing...

    ben111, The formula you presented, Kelly% = P - (1-P)/Ratio, is applicable only if: i) there is only one value for a win, ii) there...
    Post by: bustermu, Dec 7, 2010 in forum: Trading