Optimal position sizing

Discussion in 'Trading Software' started by kut2k2, Apr 14, 2013.

  1. kut2k2

    kut2k2

    I feel like I already know the answer to question but it's best to ask it just the same.

    Is there any trading software that does optimal position sizing (aka Kelly sizing) the right way?

    There are several ways to calculate the Kelly ratio and most of them are wrong. I was just wondering if anyone had any experience with trading software that did position sizing to their liking. Thanks.
     
  2. kelly in itself is a pretty simple calculation, the hard part of it isn't kelly it's getting your edge aka input probabilities correct... which is part of your idea not the trading platform per say.

    that said i use kelly for one of my strategies. i develop and trade on tradelink.
     
  3. kut2k2

    kut2k2

    How are you calculating Kelly? Thanks.
     
  4. Murray Ruggiero

    Murray Ruggiero ET Sponsor

  5. I google scholar-d until i found a paper that had kelly examples close to my setup.
     
  6. kut2k2

    kut2k2

    Sorry, I don't know what that means. Could you post the formula you use to calculate Kelly? Thanks.
     
  7. kut2k2

    kut2k2

    That link doesn't work for me. Perhaps you can explain here why optimal f is preferable to Kelly.
     
  8. there are different kelly formulas depending on what you're doing.

    there's papers out there describing all the details and formulas.

    it does require reading on your part. good luck.
     
  9. Daal

    Daal

    Kelly is good for options where you know how much you will lose or win. Outside options the optimal F is more appropriate
     
  10. kut2k2

    kut2k2

    I googled scholar-d.

    There is no scholar-d.

    Could you please provide some of the links you talk about, at least the link that you used to get your Kelly formula? Thanks.
     
    #10     Apr 17, 2013