Recent content by bustermu

15rms, Once you have reduced the information to, "percent winning trades and the average win average loss", only, the Kelly Ratio can no longer be determined. Please see: http://www.elitetrader.com/vb/showthread.php?s=&postid=3028937#post3028937 Thanks, Jim Murphy

kut2k2, I made an equivalent claim in: http://www.elitetrader.com/vb/showthread.php?s=&postid=3028937#post3028937 Any references to and/or proofs of the claim would be greatly appreciated. The proof I have uses Jensen's Inequality for conditional expectations which I believe to be...

kut2k2, In your "Kelly for Traders" thread, you have: k ~ sum[Ri]_n / sum[Ri²]_n This is sometimes expressed by blackjack card counters as "expected return over expected squared return". Six little easy-to-remember words. The best things about this approximation are (1) it can be...

Ralph, Thanks for your response. I would also like to express my appreciation to you for your work in generalizing the Kelly Criterion concept. Please consider the paper by Ralph Vince, page 21, at: http://ifta.org/public/files/journal/d_ifta_journal_11.pdf The rhs of Vince...

How do we compare the performance of trading strategies each using the Kelly Investment System? Please consider the paper by Q. J. Zhu: http://homepages.wmich.edu/~ledyaev/eir.pdf In the last paragraph of Section 2, Zhu proposes using the annualized return for the systems. The above...

ben111, The formula you presented, Kelly% = P - (1-P)/Ratio, is applicable only if: i) there is only one value for a win, ii) there is only one value for a loss and it is 1, and iii) the formula yields a nonnegative value. In order for the numerical example you gave to be a...