- NAV : Net Account Value - I think this is pretty standard. - Minimum position size: 1 contract for futures, which is the only thing I trade ... I would say whatever makes sense after accounting for commissions for stocks, 1 lot (or micro-lot) for Forex.
I am not going to be ignored. You do not understand the question you're asking. Overtrading: Incentive to churn or recommend inappropriate size or changing market positions too frequently outside of a professional or advisory setting wherein you are compensated for the amount of commission you generate creating conflicts of interest from the relationship that must be disclosed. Shall I go over how long it's going to take Mr. Hershey to show up here?
Usually 10,000 runs ... it doesn't make much difference from doing only 1,000 runs if you are looking only at mean & st-dev, though (the only differences are the actual values at/near both extremes)
There is a reason why bucketshop brokers give their clients huge amounts of leverage, they want them to over trade as they make money from their client's losses. No matter how good a trader you are or how good a system you have one day you'll make a truly awful trade, and if you're over-leveraged that will be the trade that wipes out your account. Not over trading is simply an essential part of any half decent risk management system, and no trading system will succeed without a proper risk management strategy in place.
Exactly my position as well. My question in the OP was what is acceptable for a trading fraction, if you could restrict the range of values around the optimal trading fraction? I gave my ideal range of values (95% to 105% of true Kelly) but I hold back my acceptable range because I didn't want to unduly influence anyone else's response.
I would view 'overtrading' (i.e. trading with too much size/risk) as having a >1% chance of losing more than your maximum drawdown tolerance - either from a nasty losing streak, a shock market event, or excessive position correlation across your portfolio. There are also things like execution risk, market closures, broker bankruptcies etc to consider. I use the Monte Carlo approach with conservative win rate and payoff assumptions, to calculate my likely drawdowns, trying to account for the tendency of position correlation to increase during risky market environments. I find that keeping within my drawdown tolerance, and being adequately protected against shock market events, makes it impossible to come anywhere close to the mathematical Kelly fraction, or even half of it. My maximum career drawdown is around 23% and my personal tolerance is about 20-25%, that is over quite a long time and through events like 9/11, dot.com crash, 2008 crisis, flash crash - so my own risk management approach has achieved its goals so far. I think it's hard to use appropriate risk management if someone has not traded through at least one market crash and bear market - they simply don't have the experience and knowledge to make informed comments on risk. Even when they think they are being careful, they usually aren't.
Some people use trading all the time . It is not good practice . they should set a target to get profits , after it close trading .You can just watch market . Market is open 24 hours it does not means we should trade again and again all the time . Avoid over trading it can make you sick.
A more important question is Kelly Fraction of WHAT? Net worth or account size? Too many people use a fraction of their accounts in their trading but I'm not sure that makes sense, when you consider position sizing you have to take into account your net worth. If Bill Gates opened an IB account with $1M, he shouldn't be betting using Kelly or half Kelly or anything like that, he should be way more aggressive because that amount is nothing for him. And vice-versa if you have a big account but you have debt to your name (like a big mortgage), you should bet less in that case