Recent content by espresso

Well said GAT. I think I will keep using very conservative allocation. :)

Never mind, aex. I found Kelly approximations (#2.1, #2.2, #3, #4) works most time. But I'm perfectly OK with optimal ratio that's based on numerical optimization. However, as I said above, the optimal value is much larger than 1, how could I apply it practically?

Let's simply assume the trading stats given here is reasonable and reliable. :) In fact, It's a live, leveraged account, mainly for currencies, the $ amount has been proportionally modified, the stats is based on one currency pair for simplicity. However it shows the essence of the performance...

(Continued) >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> #4 >>>>>>>>> (New Kelly Formula by kut2k2) >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> I also tried this one (by kut2k2) New Kelly Formula https://www.elitetrader.com/et/threads/a-new-kelly-formula.291307/...

These are true stats for one instrument traded in one month, and these stats remain pretty similar for each month for past two years. However, the point here is that I wanted to know which is the proper way to calc Kelly Criterion. :)

Hi kut2k2 and folks at ET First, thanks kut2k2 a lot for the great posts on Kelly Criterion (KC) in past years! I did the calculations based on your posts: Kelly Approximation: https://www.elitetrader.com/et/threads/kelly-for-traders.102205/ (Kelly for Traders) Bad Kelly v.s. LessBad...