Optimal position sizing

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

  1. "I find it amusing."

    Good to know you can find at least one thing on your own.

    Build on that and you'll solve your kelly issues.
     
    #21     Apr 18, 2013
  2. kut2k2

    kut2k2

    I don't have any Kelly issues.

    Perhaps when you solve your reading comprehension issues, you'll finally figure out what the point of this thread is. :D
     
    #22     Apr 18, 2013
  3. Kelly is for gamblers and eventually losers.
     
    #23     Apr 19, 2013
  4. kut2k2

    kut2k2

    Kelly trading only works with positive expectation.

    Gamblers by definition don't have positive expectation. Gamblers hang out at roulette tables, craps tables and slot machines, none of which are amenable to a Kelly strategy. Gamblers buy lotto tickets when the jackpot is below the break-even point.

    Losers as a rule don't have positive expectation. Gamblers eventually become losers. Traders with positive expectation who overtrade eventually become losers. The correct Kelly fraction prevents overtrading.
     
    #24     Apr 19, 2013
  5. kut2k2

    kut2k2

    #25     Apr 25, 2013