Search results

I don't think it's always the case that the "worst outcome is yet to happen". For example, if you recalculate Kelly after every trade and it is declining, you might bet Kelly on every trade from now until you stop trading and never experience a larger percentage loss than you did on a prior...

I would suggest looking at it slightly differently. Take the maximum amount you are willing to lose and set it into a different account solely for the purpose of doing Kelly betting on these types of plays. As that account grows (and, if your Kelly is positive and your set-up continues to pay...

As long as people like the idiot who wrote this article exist, I doubt the US will be able to rebound quickly from a default. As quickly as we rebounded, these people would be dreaming up new ways to get us into debt with their unsustainable entitlement schemes.

Really? Explain how it does that? You are good at making unsubstantiated claims, less good at substantiating them. It's all very well and good to insult me personally, but I doubt that anyone but you really thinks that my reply explains why I am not rich nor a CEO. In fact, a normal person...

OK, so let's run through the math on trying to steal an edge from a small trader. Let's say I know that 90% of small traders are going to lose. That means only 10% of the small traders who trade through me have anything worth stealing in the first place (maybe that percentage goes up a bit if I...

Unless the tick size change led to a margin requirements change, you would still be able to do that if the tick size changed to .1 rather than .25. The only difference is that 1 ES point would be 10 ticks rather than 4.

I have a difficult time believing even that. How would a broker know if the particular trade wasn't part of a multi-part strategy executed through multiple brokers and if the entire multi-part strategy needed to be executed for the overall position to be profitable, e.g. a pairs trade or some...

So, basically you've uncovered some big conspiracy of financial institutions to steal strategies from retail traders? If that's how they make their money, why hire high-priced traders when they could just hire people who could find profitable retail trading accounts and then steal the strategies...

Consider the implications of what you are saying. You are implying that some "edge" existed in the market for 15 years with none of the institutions you mentioned finding it, then you (or some other retail trader) found it, then those institutions noticed you trading it profitably and stole it...

Would love to see something happen to where the effective spread between bid and ask on the ES is the equivalent of the .01 bid-ask spread on the SPY.

When you're dealing with probabilities, even if they are high, they are still just probabilities. Assuming you have something capable of 73.4% accuracy, that still means you're going to be wrong 26.6 times out of a hundred. Today was just 1 of those 26.6 times.

I think that one of the problems is that some people think that something which works 60% of the time during a specified time period will then suddenly work 0% of the time. My experience has been that it's more like sometimes it will work 63% of the time and other times it will work 57% of the...

While over time the Kelly risk-percentage has declined (I recalculate it after every trade), it's not doing so at a very fast rate of decay and even at the rate it is declining, the strategy seems to have the potential for hundreds more trades before the optimal bet size is 0. Could it degrade...

Interestingly, I've seen this strategy recover from 90% drawdowns to go on to new highs, at least on paper. I wonder if that in and of itself is significant, as I would imagine that the vast majority of strategies which experience 90% drawdowns never recover to new highs, regardless of their...

I can't find it now and I don't really feel like looking too hard, but a paper I read linked at CXO Advisory's website analyzing retail traders' profitability showed that of the ones who were profitable, they primarily fell into two groups: traders who made 1-5 trades per day and traders who...

But that's exactly the point. Is the "apple" (fixed fraction) a better position-sizing algorithm than the "orange" (Kelly sizing) for objectively maximizing "eating satisfaction" (profit factor)? I don't know the details of other traders' statistics and perhaps there are strategies where...

Global Futures. So they hold it on their servers and unless a transaction occurs at that price, they don't send it to the exchange?

Sometimes I will have a stop limit order in on an ES trade and the market will trade through the price without executing it, but then when I enter a limit order at the same price, after seeing the stop limit didn't execute, I get filled right away. This happens when I'm not trading the most...

I keep a set of statistics on my trades, including the "hypothetical" results of the trades using different position-sizing techniques. By far, the best profit factor comes when using full Kelly position-sizing, about 15% higher than the profit factor using a fixed fraction. So my question is...

I have found that treating long and short trades differently (although only in the design of an exit strategy) has increased returns. For entries, I utilize the same setup and trigger for both.