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I am long ES 2770.5. The order book is severely distorted, so I believe this is a very-short term bottom.

FundSeeder needs to revise their performance metrics by which they rank the trading accounts. In their leader-board, the #1 ranked account has a 1.7% annualized return, 3.5% cumulative return over the last 2 years, and the $4,800 account balance. That's especially ironic, given that the...

Infinite capitalization is not a requirement for Kelly criterion. You are probably referring to the concept of the "infinitely divisible capital", which is something else. The Monte Carlo simulations would indeed give you a good idea about the trade-off between the risk and return. A simple...

That would be size 0, as Ralph correctly pointed out. You have to re-think your objective criteria.

Okay, I read your paper, and now I understand why your inflection point of 0.196 is so low compared to my inflection point of 1.7 for the trade distribution that I posted earlier. The reason for this difference is that you assume that it's possible to lose the entire allocated amount in one...

Okay, thanks. With accordance to my own risk-adjusted growth calculations, the position size should be about 8 times larger. I'll see what you have in your papers, and perhaps we could continue this discussion after that.

Okay, let's take the inflection point for the 50 year horizon, which is 0.196. This means that you'd size each trade at 19.6% of the account size, correct? For example, if your account size is $100K, and the stock XYZ is trading at $10/share, then your position size would be: size = 0.196 *...

Thanks, Ralph. I'll take a look at your papers.

Okay, and what would you use as an alternative then? Let's make it a case study. Here is a trading system S with the following trade return distribution: 40% probability of a 1% gain 20% probability of a 2% gain 10% probability of a 3% gain 10% probability of a 1% loss 10% probability of a 2%...

I did a google search, too. Here is what I found out: "pow": the exclamation made to refer to the powerful thrusting action during sexual intercourse. "gai": the name of a Chinese rapper, singer, and songwriter. I believe what the OP is attempting to communicate is that there is some sort of...

Okay, that's something entirely different from the Kelly criterion then.

This is not quite right. The upper bound for f is not 1, but infinity. Here is a simple illustration. Let's say we have a trading system with a 90% probability of a gain of 1%, and a 10% probability of a loss of 1%. The full Kelly is 80. That is, you should borrow 79 times of what you have, and...

I believe you'd be way off the mark in many cases with that over-simplified approach to Kelly. Consider a trading system which gives you a 90% probability of making a 1% gain, and a 10% probability of making an 8.8% loss. For this system, full Kelly is 0.227, and half Kelly is 0.1135...

It's not that complicated, really. It comes down to this: to figure out your optimal position size, find the leverage that maximizes the sum of log-returns of your past trades. Then trade with a fraction (such as 0.25) of that leverage. Yes, it gets more involved when you have to deal with...

1. IB requires a minimum of $10K to open an account, so if you have only $500, IB is not for you yet. 2. There are intraday margins and overnight margins. I think you may be confused about the difference between them. 3. Allowing traders to trade ES futures with a $500 margin is bad business for...

There are three verbs in the posed question, which consists of six words. This type of grammatical structure is too exotic for me to understand.

That's nothing. I once offered my kidney to a voluptuous Czech girl in exchange for sex, and she said, "No, thanks, I am a vegetarian".

Don't you get it? No one is interested in talking about KOSS. And it's not because the crowd is getting dumber, but because you are out of sync with the Zeitgeist.

Dude, you sound bitter. Feel free to think that the horse carriage was better than Tesla, and that the missionary position was better than the "sixty-nine". But don't let it antagonize you.

The price of a security is determined by demand and supply. Order flow is a way to quantify the direction and the magnitude of the changes in the demand and supply. Order flow can be determined from the exchange limit order book, to which you can have access with the so-called "market depth"...