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Resolving a dispute over the Kelly formula
Can u give an example of a system with a known rate of wins and known win/losses?- Visaria
- Post #21
- Forum: Risk Management
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Resolving a dispute over the Kelly formula
No. The Kelly formula may look elegant and simple but it's derivation is somewhat more complex as is its proof. Investing"pros" may argue against it. They have good reason to. If you don't really know p (probability of a winning trade), your estimate of p could be way off and hence using...- Visaria
- Post #19
- Forum: Risk Management
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Resolving a dispute over the Kelly formula
In this PARTICULAR case, we have a binary distribution. Either you win X or you lose Y. No other outcomes.- Visaria
- Post #18
- Forum: Risk Management
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Resolving a dispute over the Kelly formula
No, it's as the previous poster says, same expectancy. I think you are a little confused, ghost. I will help you out! If you did 100 trades using setup A and 100 trades using setup B, you would "expect" to make 55 x 100 = £5500 in each case. Each of the trades in setup A, you risk £407...- Visaria
- Post #17
- Forum: Risk Management
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Resolving a dispute over the Kelly formula
Your calculations, ghost, are correct. Note that both of you had the same answer, 5.5%, for setup B. However, your conclusion that set up A is better because the Kelly fraction is higher than that of setup B is incorrect. All the Kelly fraction says is how much you should bet, on each trade...- Visaria
- Post #5
- Forum: Risk Management
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(UK) Bankers face 10-year delay on bonuses
I totally agree with the idea of deferred compensation. 10 years sounds fine to me. About time people remembered that these companies should be run for the benefit of their owners, the shareholders and not their employees.- Visaria
- Post #10
- Forum: Wall St. News
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Buy the dip
Your task, I maintain, is to look at a long term chart and to forget the semantics. :D -
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Buy the dip
"The way you lose money in the stock market is to start off with an economic picture. I also spend fifteen minutes a year on where the stock market is going. All these great, heady, thinking deals kill you." - Peter Lynch -
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Buy the dip
Mostly BS. Thinking about the economy will not make you money. -
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Buy the dip
I just laugh when i hear stuff about a supposed correlation between the stock market and the economy. -
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ES Journal - 2013
stop at 35.75, i cba to watch this anymore, bye -
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Buy the dip
I haven't said anything that you have attributed to me. Fact remains, bull market from 2009 to present day. FACT.