15rms, Once you have reduced the information to, "percent winning trades and the average win average loss", only, the Kelly Ratio can no longer...
kut2k2, I made an equivalent claim in: http://www.elitetrader.com/vb/showthread.php?s=&postid=3028937#post3028937 Any references to...
kut2k2, In your "Kelly for Traders" thread, you have: k ~ sum[Ri]_n / sum[Ri²]_n This is sometimes expressed by blackjack card counters...
Ralph, Thanks for your response. I would also like to express my appreciation to you for your work in generalizing the Kelly Criterion...
How do we compare the performance of trading strategies each using the Kelly Investment System? Please consider the paper by Q. J. Zhu:...
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...
Separate names with a comma.