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It's about right. If you want a real, Manhattan attorney, you can expect to pay upwards of 1,000 / hr. And this is not a one-time cost to set up the legal structures and docs (a typical fund has three entities, an LP which is the fund, and LLC for the GP, and an LLC for the management company...

Keytruda, where it can be used, is pretty amazing stuff and her oncologist told us he is considering putting her on it if her cancer returns in the next couple of years. I understand it;s in the $100k ballpark. If you have results from genetic testing that can lead to treatment, that's great...

Two years ago, to the exact DAY, I dropped my wife off for chemotherapy, and I went to buy the best mattress I could find for her to die on. (The guy at the mattress store must have seen me coming, I'm such a mark. I hate this f***ing mattress and I paid half a fortune for it!). Anyhow, a major...

Never, ever, EVER put yourself through the wouldda/shouldda/couldda's in this game. That negative stuff will, at best, just eat you up. You really MUST learn from your mistakes and not fall prey to them again. You get up, you get it back on the rails. Always remember that your best trades are...

I've found volume analysis to be perhaps the single-biggest indicator of short-term price direction I;ve encountered in forty+ years, and despite all the structural market changes (HFT, etc.) it has always held up. When I was a sprout, I had a crap job in lower Manhattan, I'd take the 4/5/6 for...

I try to read most threads here and on other venues, I'm just often several days behind. If I don't respond, oftentimes it's because I jsut don't want to get drawn into an argument, it's exhausting to me and the markets are exhausting enough to an old mutt like me. But this is a very...

My apologies if going way off-topic, but I think we should really be careful with any ideas that occur in the limit. A lot of what all of us are dealing with in these markets is a little theoretical to begin with, but when we start looking at ideas in the limit, we go through the looking glass...

Yes In the single-proposition case, the convergence (of the expected growth-optimal point) is very fast. However, the inflection point and the reward/risk maximizing point (which do not appear until after a certain number of periods or trades have transpired) towards the peak of these points...

Nonlinear, the other paper along these lines (and shows as well as the calculation for the manifold of inflection points) also shows the caclulation for the manifold of zeta-points (all in the hyaline manifold of what I refer to as "Leverage Space" for lack of a more creative term) but this...

Oly, the book that covers a lot of what is in this thread is the "Risk-Opportunity Analysis" book, which is also the least expensive, and covers this stuff in-depth without being a composite of academic papers. As I read this thread, I think too a point called the "zeta point" might be of...

True only on the first trade. After some t trades, that point beings to migrate "rightwards, and has, as its asymptote (as t->infinity) the expected growth optimal peak.

This, like expectation, like risk of ruin or drawdown, like the expected growth optimal-quantity to risk itself, is a function of horizon (contrary to those who believe in the Kelly Criterion, which is asymptotic, and not directly applicable to capital markets to begin with). If you have a...

Very true I think. An example is doubling down on roulette, a truly losing proposition in the long run, until you have a winner. This is an extreme case, but illustrates the point. To my way of thinking, we are always trading the equity curve. If I think of that curve of the % of our stake...

But expectation may NOT be what you think it is, what the generally-accepted means of determining it is (probability-weighted mean outcome). Rather, it is the median of sorted terminal nodes of the tree of outcomes to a horizon of Q trials. Only in the limit (Q->infinity) do the two converge.

Tony, A number of years ago I thought you had to have a mechanical system to implement it, but I don't anymore as I primarily trade only for myself, and it's a discretionary-based option & equities approach. One of the things I've been working on in recent years are robust ways of determining...

Oh thanks John I just saw this. Anything that I have has been given to me.

Yes, to trade the equity curve itself you need some sort of discernible auto-correlation of returns (and a belief that it is not a spurious happenstance, that there is causality involved). But I believe that if one defines a criterion (I want to increase my probability of being profitable by...

I think it depends on what your criterion is (to the notion of trading your equity curve "working"). Let's suppose my criterion is expected growth maximization -- then I'd want to trade at the peak (a percent) of the curve f{0..1}. If it is maximizing expected gain to expected drawdown, then it...

Bill, Remember though that the answer to both of Zhu's equations here, the Kelly Criterion itself, is NOT a percentage (it just often masquerades as one, very meritricioiusly) but rather is a leverage factor. It might equal what is the optimal percentage in the "special case" (i.e. is is a...

Jim, You're absolutely right! Where you say: << The rhs of Vince Equation (1a) is identical in form to the rhs of Zhu Equation (2.1). This form will be referred to as the product form. >> I had mistakenly took Zhu's equation (2.1) to be my equation (2) from my paper, when in fact it is...