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John, take a look at a new article by Michael Harris on expectancy: http://www.tradingpatterns.com/About_Us/articles/articles.html Ron

It sounds like a good idea but I have the feeling it is based on recent observations only. What I suggest is analyzing historical tick data to study the distribution of market price changes during hourly intervals and see whether they are any spikes, or the distributions are uniform or of some...

I'm looking for a low cost real-time quote service for US equities with capability of exporting historical data in ascii text format. Any suggestions? Thanks

Question: Can a public fund use its holdings to lunch a takeover bid for a public company? Thanks

Correct me please if I'm wrong but the problems start when one is mistaken and the top or bottom is not there. In that case returns are reduced significantly. In addition, depending on the quality of the stock picks, there is a risk there that some stocks will move lower while the index moves...

That's the name of the game! Ron

Good post! Ron

I paid $1,495 for a five year lease. I think $175 is for an upgrade from earlier versions. In principle you are correct, APS is a "white box" but it does not disclose the algorithm to find the patterns. The program does not check for pre-programmed patterns, like the hook pattern that was...

I find it very interesting that a few QQQQ patterns in an articel by Michael Harris published by Active Trader in 2002 still perform very well, as a matter of fact all of them. I read the details in the following article: http://www.tradingpatterns.com/About_Us/articles/article3/article3.html...

That says nothing really. The probability when using Kelly to lose 1/n of your equity is 1/n. Thus, if you have 1,000,000 the probability to lose 500,000 is 50%. This is awfully high probability especially for fund managers who usually close the fund if a 50% drawdown occurs. I mean 1/n is...

This does NOT account for the fact that you can have a streak of losers and given the fractions used, you will never be able to recover your losses. Isn't that exactly what happens to small account retail traders? If you lose 50% of your account you need a gain of 100% to recover your losses for...

gbos, thanks for the nice quantitative approach, which really explains the geometric growth rate but do you think you can buy 6 contracts with 10K (other than in the grains market possibly)? Maybe that's what maxpi is talking about when he says that Kelly does not work with margin. Still...

Has anyone tried installing and running APS Automatic Pattern Search full version (not the demo) on a Vista machine, 32 or 64? Any problems with other trading software when installed on Vista machines, in general? I think I will be forced to switch to Vista soon. Ron

You're probably correct about the simplified version of %K traders use but the general form of Kelly's formula applies to non-Bernouli distributions. Regardless, if that is true, i.e. %K represents the amount you can lose, then I wonder why do people talk about this formula and recommend it for...

maxpi, can you be more specific? (1) or (2)? Also, can you explain a bit the margin problem? Ron

Good post. Someone told me once that if you trade long enough there is always a losing streak with your name on it enough to wipe you out so risking less percentage of your account per trade makes it more improbable for the streak to show up during your lifetime and before you retire. Ron

Is %K the amount to put at risk or the amount to invest? It seems there are conflicting views as expressed in another thread. For instance, if equity is 100,000 and %K is 0.25 do we size position so that: 1) 25,000 is lost if losing trade? 2) 25,000 is used to determine the number of...

Simplistic thinking. I think you totally missed the point. Nobody spoke about "total risk control" but you. Obviously you mean something different by that than most of us here. I spoke of the normal risk control every trader exercises through position sizing. Kelly does fine if your system...

This is the correct way to apply the formula. If your stop is $10 and the trade is a loser, the loss will be $2,000 or 2% of your equity. The number of shares turns out to be equal to that obtained using the fixed risk percent strategy. This just happened of course because of the way you...

It's called the "wealth out effect" and the government participates in it also with capital gain taxes etc. I can't believe there are people around who vigorously defend the absurd position that stock trading is not a zero-sum game (it is indeed not even zero-sum but a negative sum). I am...