Additionally, I am not "trying to undercut Kelly." Go back and read his 1956 paper in BSTJ. You won't find a single reference to trading the markets. Are we to assume he didn;t know there WERE markets? The answer to the Kelly Criterion is NOT the answer Kelly thought it was. That doesn;t undercut him -- but the answer to the kelly criterion is something else, and the difference between what the solution to the Kelly Criterion IS, and what people mistakenly THINK it is (and Kelly himself mistakenyl thought it was, by his own words on p925) is subtle but vital. It's NOT the growth optimal fraction -- it is a leverage factor, equal to the growth optimal fraction ins SPECIAL CASES. You guys have those SPECIAL CASES in your spreadsheets and that is why you think what you do. Pay attention. I'm not saying it again here. -Ralph Vince
Imo unfortunately sounds like RVince just must try obscure and try to convince he has better stuff than Kelly, because Kelly is free and simple. Which I suppose RVince's stuff is not.
It's taken me a long time. In 1987 I went 23 in a row in bonds and coffee. It took me 20 years to figure out from there how to extend it.
sheepsucker, What's not "free and simple" about my stuff? What;s more free than an academic paper ? What do you think BSTJ is? You want free -- go download an RAR or a Chinese copy. Is that "free enough for you?" Do you think I learned what I learned for free? Keep drinking the water and eating the popcorn. Maybe I should buy you a beer? Would you like that? -Ralph Vince
Sheepsucker, You want "free?" Go enroll in a quant class at a college that offers an MFE program or something like that. Go ahead, go pony up your 50-100 grand and go learn your stochastic calculus. See what that gets you in the markets. And you want free? I owe you free, don't I? Look around, wake up, decide who you want to listen to and what it's worth to you. -Ralph Vince
If you cannot give answers to the issues you raise and you must divert people to a paper or to your paid website service then it is better not to get involved in these discussions. This is a free trading forum for the exchange of free ideas. Furthermore, it is known to all sophisticated gamblers in the world that the ratio edge to odds maximizes geometrically equity curves. You dispute that but you do not provide any sound reasons other than to ask people to take your course or order your paper. I have to disagree with your approach here.
IntradayBill, Earlier in this thread, someone suggested to someone else here to use the result of the Kelly Criterion to determine their growth optimal quantity to trade in. Realizing this would very likely (because it was not, most likely, what I call a "special case") cause the person who acted on this (well meaning) advice to be over-committed. By referring him to ways to attain what the referrer thought he meant, I was shedding light for both, saving pain for the latter. In doing, I referred both (and you) to where they could learn more if so interested. If I have violated to protocol of the forum, unwittingly, my apologies. To intimate however, that I am trying to huckster you -- or anyone -- here, deserves reply.
With all due respect, I have been using Kelly for over 30 years for all kinds of "investments" including sports and pari-mutuel wagering. :eek: At the very least, you are misrepresenting Kelly either because you don't really understand Kelly or because of your own agenda. If it is not because of your own agenda, I would suggest that you do more research about Kelly because, at least for me, it is a very valuable tool and I feel that it is a very valuable concept to understand. As a side note, I use Kelly to not only tell me the max I should "invest" in an opportunity but Kelly also helps me to decide which of several "investments" I should choose if I am not going to or don't want to invest in all of the available opportunities. Joe.