Search results

Unfortunately, there are a number of calculation bugs in excel 2007 version. So be careful if you are using it in trading applications. http://groups.google.com/group/microsoft.public.excel/browse_thread/thread/2bcad1a1a4861879/2f8806d5400dfe22?hl=en#2f8806d5400dfe22

http://www.youtube.com/watch?v=oRpej75hONw

If I did the math correctly its 60% annual return. You calculate arithmetic and not geometric means … +100% and -50% equals 0 and not 25%. The return is very good but more relevant is the net gain loss. If 500% return is on 10k and -25% loss is on 2 millions then you have a net loss.

This kind of weeks is to be expected. Going from 75k to 500k in less than a year without large drawdowns is impossible. You need extreme luck or an extreme edge to avoid large drawdowns (or the possibility of ruin) when targeting for +600%. If there is something to worry and argue about it...

When writing the example I had in mind a specific stock index future in a european market that a point move represents 5 euro profit or loss. 1% move is required to touch the 100 euros stop loss. So 10000 euros are enough to let you open a position with 3 or even 6 contracts. Usually when you...

Under Kelly framework the possition sizing goes something like this ... 1. First we take an arbitrary example of a trading XYZ system with futures: We want to enter long at a future contract and we estimate that at current contract price, we risk 100$ per contract until our stop-loss is...

You can calculate optimal Kelly fractions with more than two possible outcomes. If x(i) is the outcome and p(i) is the probability of the outcome the growth rate is g(f) = Sum [p(i) * ln( 1 + x(i) * f)] An easy way to find f that maximizes above function is by using excel’s solver.

If you know the name of the virus google for a solution. Else you can try manually removing it but the chances of success are questionable... First kill the process from memory http://www.microsoft.com/technet/sysinternals/ProcessesAndThreads/ProcessExplorer.mspx Then try to manually...

'************************************************************ ' VAR_sd standard deviation of a portfolio * ' a weights ' s standard deviations ' r correlations '************************************************************ Private Function VAR_sd(weightArray As...

:confused: Median in the first case is $100k.

The formula he used is correct. Its equivalent with the one you wrote. The problem with the ‘high’ 0.6 result is in the input data and the simplification of the problem. Let’s take a slightly different and more realistic assumption and see if Kelly formula gives unreasonable results...

Each position may be 1/100th of Kopt. but what about the entire portfolio. The positions of a fund are correlated. If the aggregate portfolio has 10% mean and 20% standard deviation then putting 80% of your assets in the stock market means that you have allocated 1/3 Kopt.

Kelly formula maximizes the median of your capital. It’s just an optimality criterion. It doesn’t ensure the drawdowns of your capital or ROR will be below your acceptance levels. In simple terms. Suppose 999 traders starts using a system with Kelly formula, and 999 traders follow an...

Hi neke. I hope you'll achieve your goal. Sorry about your drawdown but I think such drawdowns are unavoidable if you’re trying to turn 75k to 500k in less than a year. Assuming you have correctly estimated your weekly edge at 50-50 20% gain 10% loss and you are going for a growth rate of...

hmm.. Tyler Cowen says ... :confused: Can someone explain to me whats the definition of 'well-studied' when the probability distribution is not known?

I haven’t read the book but I have read some of the draft chapters from his homepage. I found it interesting and entertaining but maybe my limited understanding of english didn’t help me spot all the deficiencies the OP is talking about. Anyway if you are looking for a pleasant read I think...

http://www.emsisoft.com/en/software/free/

:p secret code for 'I agree'

+1

I think most of this ‘quant hedge funds’ are marketing scemes and don’t have an exploitable edge. Only a few of them are sofisticated enough to make ‘risk free’ returns. One of the best in this field is Ed Thorp. http://webhome.idirect.com/~blakjack/edthorp.htm As for most of...