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Don't forget mult-year record insider buying right at the top of 07. As well as record buying from the large commercials right at the top. Be careful to draw conclusions based on common intuition.

reminds me of the most comical title I've seen in a long time. Throw out all those TA, and advanced quant books. A second grader will beat you all (yeah, right; maybe if he is of the madoff lineage).:D

1) recessions typically have increasingly short life spans (historically). The length of recessions has been decreasing historically on average (while expansion durations have been increasing). 2) they do not always end the same way. There is no exact measurement to gauge the end in...

I've already mentioned this here before, but combofix is the ultimate last resort killer of any pest/rootkit etc. Think of agent orange vs. soap. If nothing else will find it and weed it out, combofix will. Only it goes into your registry files and stuff normal software doesn't mess with...

if you have access to any type of data editor or programming knowledge, you could simply cut and paste 65000 rows of data to each column. Simple to do in R, matlab, or unix if you are familiar. Very crude approach is to open the file in notepad and find/search for the 65000 value, then shift...

I think I get your reasoning. Would it be possible for you to post an AR1 series with a thousand or so data points using some real financial object (I'd prefer to see that rather than a modeled one) along with a plot of the terminal wealth (assuming geometric growth) vs. fractional bet size...

There may be some degree of serial correlation is some financial or strategy based return series (I assume that is what you are referring to?), but that doesn't preclude kelly concepts from being applicable. Again, I think that kind of goes back to your earlier observation on what the...

http://eprints.maths.ox.ac.uk/594/1/43.pdf Anyone that wants to skip through the math should just focus on fig 2. cheers, dt

I think readers of the thread should really go out and get a copy of "The handbook of Portfolio Mathematics," or at least find some papers on LSP by Ralph Vince, before commented on the seemingly obvious...

Plenty of information out there. Dig with diligence. [/b] yes, I mentioned the correlation aspect a few threads back. No easy textbook answer to give, but it is something that certainly requires thought. There are other ways to spread risk outside of position sizing. Plenty of ways to...

In fact, the fallout between Simons and Ax was argumentatively due to drawdowns that Simons was uncomfortable with. Their parting of ways led Simons to Berlekamp, who's methodology likely addressed these concerns and performed quite well. I have no doubt those methodologies incorporated kelly...

Good catch, as I haven't looked at it in awhile it is possible that maybe he obtained this information from Poundstone outside of the book or made the inference implicitely. There is certainly a well known relationship between medallion and its origins going back to axcom and Berlekamp (who had...

FWIW, here is an excerpt from a paper regarding poundstone's excellent layman's book; "Thorp is not the only money manager to have used the Kelly criterion successfully. According to Poundstone, Kenneth Griffin’s Citadel Investment Group, James Simons’s Medallion Fund, and D.E. Shaw and...

Yours are some of the few trading books that actually do not collect dust on my shelves (and there are quite a few). I refer to it often, and am pleased you were able to bring kelly criterion and expectation concepts to the masses in comprehensible form. No need to depreciate...

Wasn't it ralph vince himself who said, " "In a negative expectation game, there is no money-management scheme that will make you a winner?":confused: I've often used that quote myself as a reference on this board. Did you change your thinking, or are you simply infering that the finite...

Your ideas will serve you well going into trading battle. Systemic and strategic approaches are much over-rated as you say; stick to astrology-- it's worked for thousands of years. :D

edit: solved.

Notwithstanding plenty of well thought out arguments by economists, econometricians, and financial pundits, if history has taught us anything, it is that when the moods are grimmest and logical doomsday arguments are strongest, is when long term opportunity is at its best.

There are a lot of these implementations around. This is from 15 yrs ago.

There is far too much semantic quibbling on this thread over irrelevant peripheral points. Too many posters, while having good intentions, are missing the forest from the trees. When discussing curve fitting or model optimization, the only relevant focus should be on how well that model...