I don't think it's always the case that the "worst outcome is yet to happen". For example, if you recalculate Kelly after every trade and it is...
I would suggest looking at it slightly differently. Take the maximum amount you are willing to lose and set it into a different account solely for...
As long as people like the idiot who wrote this article exist, I doubt the US will be able to rebound quickly from a default. As quickly as we...
Really? Explain how it does that? You are good at making unsubstantiated claims, less good at substantiating them. It's all very well and good...
OK, so let's run through the math on trying to steal an edge from a small trader. Let's say I know that 90% of small traders are going to lose....
Unless the tick size change led to a margin requirements change, you would still be able to do that if the tick size changed to .1 rather than...
I have a difficult time believing even that. How would a broker know if the particular trade wasn't part of a multi-part strategy executed through...
So, basically you've uncovered some big conspiracy of financial institutions to steal strategies from retail traders? If that's how they make...
Consider the implications of what you are saying. You are implying that some "edge" existed in the market for 15 years with none of the...
Would love to see something happen to where the effective spread between bid and ask on the ES is the equivalent of the .01 bid-ask spread on the SPY.
When you're dealing with probabilities, even if they are high, they are still just probabilities. Assuming you have something capable of 73.4%...
I think that one of the problems is that some people think that something which works 60% of the time during a specified time period will then...
While over time the Kelly risk-percentage has declined (I recalculate it after every trade), it's not doing so at a very fast rate of decay and...
Interestingly, I've seen this strategy recover from 90% drawdowns to go on to new highs, at least on paper. I wonder if that in and of itself...
I can't find it now and I don't really feel like looking too hard, but a paper I read linked at CXO Advisory's website analyzing retail traders'...
But that's exactly the point. Is the "apple" (fixed fraction) a better position-sizing algorithm than the "orange" (Kelly sizing) for objectively...
Global Futures. So they hold it on their servers and unless a transaction occurs at that price, they don't send it to the exchange?
Sometimes I will have a stop limit order in on an ES trade and the market will trade through the price without executing it, but then when I enter...
I keep a set of statistics on my trades, including the "hypothetical" results of the trades using different position-sizing techniques. By far,...
I have found that treating long and short trades differently (although only in the design of an exit strategy) has increased returns. For entries,...
Separate names with a comma.