Recent content by Yana

Did Quantum have 30b aum back in 92 when they shorted the pound? I think they were much smaller back then. The whole hedge fund industry barely had 40b aum combined back in early 90s. There are a lot of other guys talking about how they pulled off big trades early on and after they were made...

All: You often hear people say allocate no more than 5%/2%/1% of risk capital per trade. But when you read through market wizard type interviews, you find guys recounting their rags-to-riches stories of how they made it through a few big trades. e.g. between Druckenmiller and Soros: "How big...

kut2k2, i see your logic. To echo some of what traitor786 said, it is very difficult to assess downside exposure during worst case scenarios as their nature assures infrequent occurrences thus insufficient to be meaningful indicator of what's to come. This is an interesting and prudent way to...

> The thesis talks about value investing because this was agreed upon with my teachers. I wonder how someone can go about building an automated trading system using value investing strategies. To me the biggest hurdle is data quality because fundamental data are often inaccurate and have to...

I'm not a consistently profitable trader but I have had some success in this game. Below are what helped me: - Read up on people who did well in this field: all four market wizards, reminiscences of a stock operator, heretics of finance, inside house of money, alchemy of finance, etc etc. A...

kut2k2, Thank you for this post. Following up for everyone's benefit and hoping to raise an intelligent debate: - Where did this "good kelly" formula come from, can you explain the rationale behind it? - What would be the argument to use "good kelly" instead of say half-kelly which...

Can ET veterans please explain why we use average instead of median win/loss ratio when calculating Kelly? The distribution of returns for both losses and wins are often skewed and using simple average doesn't seem to reflect this. Yana