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I must be missing something, too. The S&P 500 is up 20 points to 2445, and yet the OP appears to be celebrating his "sell 2430" call.

I thought the intention was to discuss how to hedge futures with options with no losing trades, whatsoever. I am still anxiously waiting for the presentation of this concept.

Your 100-lot ES order will not move the market, not even by a tick. The order book for the ES is very thick.

Paul Samuelson actually advocated against using the Kelly Criterion. That's what made the use of the Kelly Criterion controversial in the academic circles.

:)

Not enough information to make a decision. You provided the cumulative returns, but no risk (such as the distribution of drawdowns, or at least the standard deviation of returns).

Yes. No, it works the other way around. Your system edge (as determined by the distribution of trade returns) is the input into the Kelly equation, and Kelly fraction is the output.

@DougStewart Are you using limit or market orders for your paper trading? At $7.95 average profit per trade, your system is super-sensitive to slippage. Just 1 tick slippage would render the entire system unprofitable. In paper trading, you may get the "fill" of your limit order if price touches...

You will not get a "decent" yield for just "parking" your cash. Perhaps consider one year U.S. Treasury notes or a money market fund. You'll get somewhere between 1% and 1.5% annual return.

The depth of the pockets is not part of the Kelly equation. If you bet twice Kelly (even with a profitable system), you are mathematically guaranteed a ruin, no matter how much money you have initially. That's because the Kelly bet is always proportional to the size of the account. Quarter Kelly...

The Kelly criterion lets you determine the optimal amount of leverage which maximizes the long term growth of account. There is a lot more to it, as this maximization of growth comes with a very heavy penalty in terms of volatility and drawdowns. But essentially, this is what it's for: to figure...

That's a problem. To me, "subjective" means "untestable" and "unproven". Can you give an example of your typical entry/exit? What's the decision process? I've never heard about Barry Taylor or about "Better Indicators".

My advice to you is to automate your system. That would give you an ability to test it over much longer (historical) time periods. This would also remove the elements of emotional trading when you go live.

Is this manual or automated trading? You have a system with a positive expectancy, which is good. You also have a sufficiently high number of trades for statistical significance. The 2.5% stop loss is reasonable. On the negative side, the performance history (31 days) is too short. Can you...

I can think of many different ways: 1. Be flat by the end of the day 2. Have a stop loss order in place (with a broker that supports it) 3. Reduce the position size to a level that overnight fluctuations do not keep you up at night 4. Hedge your position 5. Diversify your holdings 6. Automate...

1. You have to specify time zone. "4am" doesn't mean anything, as there are people here from all 24 time zones, trading U.S., European, and Asian markets. 2. Change your broker. Most brokers (such as IB) do accept and process orders pre- and after normal hours. It actually goes beyond "pre" and...

For what it's worth, urban dictionary helpfully offers the following definitions: HH: A term girls use to describe the hoe's that follow around and used by Fuck Boys LL: A lesbian lover VE: An alternative word used on Ragnarok Online for "Fuck" or "Fucking" BO: Body odor. Sometimes confused...

In that graph, imagine that the red and blue lines are short-term exponential moving averages of the stock price, indicating an uptrend, and the black line is a long-term exponential moving average of the price, indicating a downtrend. Would you buy, sell, or hold? That's what comes to my mind...

I was researching various way to compute weighted averages, and came across something seemingly unrelated, called the Simpson's paradox: Simpson's paradox, or the Yule–Simpson effect, is a phenomenon in probability and statistics, in which a trend appears in different groups of data but...

The OP did not say that he used AWS.