Search results

Incidentally, the calculation for 1 market/system is pretty straigthforward, and i have it on a spreadsheet. For multpiple, it gets considerably more involved and you would have to go to the paper I posted with LoPrado & Zhu and myself. An easier paper to understand inflection poitns for 1...

10/.196 = 51.02 So I would trade one share for every $51.02 in equity, so 100,000 / 51.02 = 1960 shares, yes

Ok, I never do this anymore, but I am in this case for the sake of clarity. Using the parameters of hte six scenario "game" you provided in this thread a few posts earlier: Note that at a horizon of 15 periods or plays (the minimum number given teh parameters of your game, for an inflection...

Then we aren't talking about being at the peak of the curve, at the expected growth-optimal point, but for "risk-adjusted rate of growth" we have two other, significant points on the curve. Both of these points (as with the peak of the curve itself) a function of the length of time (number of...

And the over-arching issue, with anything in trading, "in the foxhole," is for simple things that work. There is an enormous disconnect between the academic endeavors around capital markets, and making money in them. I long ago realized that the quantity decision was something I could control...

This is why I say to not use the Kelly Criterion in trading, even if one wants to be expected growth-optimal. The Kelly Criterion == Optimal f (the actual expected growth-optimal fraction whereas the Kelly Criterion Solution is a leverage factor on your account, as you seem to clearly see) only...

Kelly is what is not bound on the right at 1. The actual growth optimal fraction, the Optimal f calculation, IS bound on the right at 1. (The formula I present in this thread is for an asymptotic best guess when you don't know how the wins and loss amounts will come in. In truth, the Optimal f...

In a binomially-distributed outcome, such as you describe (two possible outcomes) as the ratio of what you can win to what you can loss gets ever greater, the value for f that maximizes expected geometric growth, asymptotically (i.e. as the number of trades or periods gets ever greater)...

Of course, you can get in trouble with it! The purpose, however, is you ONLY have an estimate of what hte futures percentage of winners is, this is your best guess for sound mathematical reasons.

The pro way is to put in the stop before you put in the entry order. In the extremely rare case your stop is hit before your entry order comes, you'll be grateful for the position the other way. Additionally, you KNOW you'l have a stop order in there the second you are filled.

Not true, it does NOT lower your risk of ruin. Here is an easy way to calculate a "best guess" estimate of your "Kelly," and that is to use f equals approximately p/2, where p is what you expect the probability of a winning trade (or period) is in the future. If you are trading N different...

Where were they 15 months ago?

Than you for your replies to this. MJX looks like the ticket., though the options are very, very thin. Is there a reliable price quote for the plant itself, in some sort of standardized form, some specified location? The reason I ask as I also want to examine the prospects for an OTC option on that

I have a need for a particular client wherein I need to find cannabis-related options to complete a certain strategy. Is anyone aware of any cannabis-related stocks (or ETF) with options?

As long as your timeframe is long enough. Every Dow Jones Industrial Average Price ever visited has been visited an odd number of times.

It;s not a matter of what a market "does" on a report, but a matter of what happens with liquidity. I am ever mindful of the fact that on the morning of Oct 20, 1987, as the market was about to open, 18 of the 30 Dow stocks had NO BID. In other words, they were worth $0. Liquidity is just a...

True, for any of us. It is a hypothetical argument, for me, to tr to determine if I would have been better (or worse off) with the education, than without it, and vv for those who posses the education.

Every house I've ever bought I've lost money on. I know there are people who make money trading houses for a living. I'm the worst at making money when it comes to houses!

What "career path?" I studied the markets, traded, cut my own path. Is that NOT possible today?

I've been using volume for years, and I can tell you HFT has not affected things in the equities or commodities space in terms of the relative size of volume bars and what they mean. They are as reliable today as they were decades ago.