Unfortunately, there are a number of calculation bugs in excel 2007 version. So be careful if you are using it in trading applications....
http://www.youtube.com/watch?v=oRpej75hONw
If I did the math correctly its 60% annual return. You calculate arithmetic and not geometric means ⦠+100% and -50% equals 0 and not 25%. The...
This kind of weeks is to be expected. Going from 75k to 500k in less than a year without large drawdowns is impossible. You need extreme luck or...
When writing the example I had in mind a specific stock index future in a european market that a point move represents 5 euro profit or loss. 1%...
Under Kelly framework the possition sizing goes something like this ... 1. First we take an arbitrary example of a trading XYZ system with...
You can calculate optimal Kelly fractions with more than two possible outcomes. If x(i) is the outcome and p(i) is the probability of the outcome...
If you know the name of the virus google for a solution. Else you can try manually removing it but the chances of success are questionable......
'************************************************************ ' VAR_sd standard deviation of a portfolio * ' a...
:confused: Median in the first case is $100k.
The formula he used is correct. Its equivalent with the one you wrote. The problem with the âhighâ 0.6 result is in the input data and the...
Each position may be 1/100th of Kopt. but what about the entire portfolio. The positions of a fund are correlated. If the aggregate portfolio has...
Kelly formula maximizes the median of your capital. Itâs just an optimality criterion. It doesnât ensure the drawdowns of your capital or ROR...
Hi neke. I hope you'll achieve your goal. Sorry about your drawdown but I think such drawdowns are unavoidable if youâre trying to turn 75k to...
hmm.. Tyler Cowen says ... :confused: Can someone explain to me whats the definition of 'well-studied' when the probability distribution is...
I havenât read the book but I have read some of the draft chapters from his homepage. I found it interesting and entertaining but maybe my...
http://www.emsisoft.com/en/software/free/
:p secret code for 'I agree'
+1
I think most of this âquant hedge fundsâ are marketing scemes and donât have an exploitable edge. Only a few of them are sofisticated enough...
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