so full kelly would be 40%....this would mean you have a massive edge in the market. for example, if you had something that gave you 2x your risk 60% of the time. is this what you have?
Increased risks associated change of the target metrics. Earlier I basically tracked the average trade and Sharpe (mostly daily). Now I'm focused on the number of trades, average trades and most importantly it stationary. To achieve this goal, I needed to do additional filtering trades. Sharpe dropped slightly, but the stationary risen. After increasing the stability of the algorithm, I decided to increase the risk. End of the year would be intriguing, I expect big gains or big losses
Hi! All is very bad. I have done silly mistakes and the market has punished me. I threw three strategies that trade small-cap stocks. Some showed the maximum drawdown, some simply disagree with testing. The plan for the next years: 1. Only highly liquid instruments. 2. Deep diversification - the main thing. KPI: a new strategy every month. Perhaps I'll get 20 thousand dollars for trading futures USDRUB. Attached chart profitability of this strategy. Sharpe ratio (daily, 0%) 2 after costs. In the near future I'll develop strategies for local and global futures.
Hi All good) What's the news? 1. Withdrew part of the capital to trade futures USDRUB. 2. Substantially changed my trading strategy on US market. Again ) 3. Invest (!) 30 thousand dollars in the stock JD.com. Long-term investment. Yes, this is a new stage in my career. I decided to use the capital, which is not used (for speculation use a small part of it). This will increase the diversification of my investments.