Daal replied to the thread Global Macro Trading Journal.
It certaintly does look like deep risk. However, I would point out that you have to factor in dividends and adjust those prices for the...Oct 20, 2018 at 8:06 AM
From my initial tests it looks like this is not worth pursuing. Usually, for most systems I tested the lower the kelly fraction the...Oct 19, 2018 at 1:34 PM
I agree. From my monte carlo simulations, using 1/2 Kelly doubles the return/median DD (CAGR/Median DD) ratio while cutting returns by...Oct 19, 2018 at 7:24 AM
In my simulations I did find that the median drawdown improves a lot (less than half) with 1/2 kelly vs full kelly. But since the max DD...Oct 18, 2018 at 8:22 AM