If you don't have any risk, (except for, perhaps, slippage or execution risk -- fat finger mishaps), how do you position size conversions and reversals?
Kelly criteron https://www.econstor.eu/bitstream/10419/55526/1/685609758.pdf https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2063848 https://www.hsba.de/fileadmin/user_...nding_on_asset_price_characteristics_2014.pdf https://www.math.kth.se/matstat/seminarier/reports/M-exjobb12/121105.pdf
Yes, but when I punch in the Kelly numbers what do I put in for average loss or average number/percentage of losers? Zero?
Check "Putting the Kelly Criterion to Use": https://www.investopedia.com/articles/trading/04/091504.asp
If it is really no-risk, then you compare it with other potential positions and size; if that is the only position candidate, it will then take up 100%. https://arxiv.org/abs/1903.02228 https://discovery.ucl.ac.uk/id/eprint/10155501/2/AndrewDMannPhDFinal.pdf https://fenix.tecnico.ulisboa.pt/downloadFile/281870113705363/Thesis.pdf https://chairegestiondesrisques.hec.ca/wp-content/uploads/2023/07/These_Cedric_Poutre.pdf https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4315362 https://www.researchgate.net/public...on_dimensionality_reduction_for_stock_trading