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I don't know man, I always thought that the reason some trend following strategies worked was due fat tails in financial prices. With options you can benefit from that without being exposed to it, in the underlying you will get killed every once and a while and have your stop gaped

I'm long EURCHF from 1.2016 ish. If the pair goes to 1.15 I lose about 1% so its a very small position. I want to get a better avg so I'm waiting. Ideally size I'd lose 4% on 1.15, profit would be a little less than 0.5%(I would take profit when the pair reached some kind of mean reversion...

If you are counting on money that you have outside this account then I myself wouldn't call this trading close to kelly, because you know you will put more money in the account in case it goes to $0 Effectively you will be trading under kelly

Where did you get the systematic strategy?If you came up with them yourself I'd say they correlate with the discretionary since they are both the product of a person's intellect trying to beat the market. I'd be quite skeptical of systematic systems for foreign exchange markets, they are the...

I'm not sure why you say you plan to run your risk close to Kelly. Given you had a negative record in the past, combined with the flaws of Kelly with regards to trading. I'd say you should stay far away from Kelly as possible. I'd probably be paper trading if I were you

Lets say someone I know and trust offers me the chance to buy stock in his private company that I know is simply amazing. It has a strong moat and I believe is likely to return 100% a year for a number of years or to go bankrupt. I believe my chances of success are very high but the only catch...

I was just using those numbers as example. I'd be willing to drawdown 100% under the right setups

Its irrational to me to be willing to drawdown 20% with a normal system and the same % with an system that is vastly superior. I'd be willing to go 25, 30% probably even more with a system or trade that is excellent. That is my point, maybe you think differently but I'm in this for the money

I expect the HKD to test its band this week

China just widened their band against dollar. All of the sudden the strength of the HKD on friday is explained. I was scratching my head trying to understand why it was rallying with stocks falling apart. It makes me sick to see all this trading on inside information I'm currently thinking on...

Plus if you are using options the Optimal F can be relied upon more because your loss is truly capped and black swans will benefit you. You just have to use conservative measures for expected profit due the uncertainty

The trading books talk about fixed % in order to size your positions. Like 1% or so. Seems totally wrong to me. They are not adjusting by trade quality and EVEN IF THEY ARE, the ratios of adjustment(say 2% for avg trade and 4% for a good trade) is not based on anything mathematically rigorous...

I have been reading more about Position Sizing. I found a great paper by Ralph Vince http://ifta.org/public/files/journal/d_ifta_journal_11.pdf Page 21 I wasn't aware Kelly was so misleading, sometimes I got confused with the results Kelly calculators would put out(Seems like too much...

I'm also buying OSTK 2012 Sep 2.5 puts http://blogs.smeal.psu.edu/grumpyoldaccountants/archives/569

I have to wonder if the fact that under the baseline scenario and weaker recovery scenario the pricing of Fed futures is incorrect, if that is not the old 'hike fear' edge creeping back on the Fed futures contract that I took advantage over the last few years. Economic consensus is bullish...

Perhaps I should have built a small position on Fed futures back when they were crashing http://federalreserve.gov/newsevents/speech/yellen20120411a.htm#f17 This Taylor 99 model seem to be a decent guide to what the doves at the FOMC would do. Under the 'strong recovery' they would raise...

In order for profits to keep growing AND margins to contract, if I'm looking at this correctly, profits will have to grow a bit less than NGDP. Perhaps at a 1-3% clip a year(With NGDP at 3-5%) So I would highly disagree with that people who call this market 'cheap', due low price to trailing...

Kashkari on profits http://www.pimco.com/EN/Insights/Pages/Equity-Focus-Newtonian-Profits-April-2012.aspx I disagree with him in the likelihood of a recession, I believe its higher than he thinks, plus if it happens it will be combined with USD strength as risk aversion takes place. This...

I also changed my FMCN short to Oct 2012 $14 puts. Another stock that could get delisted(Not as juicy as FSIN though)

Strange, I bought in 2 orders(avg 0.22). The first I got actually paid to trade. My order was routed to BATS and I got a rebate bigger than the commissions