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Isn't Ryan Jones the same guy who was promising to take people straight from novice to guru, completely bypassing the experienced trader phase? LOL!! http://www.elitetrader.com/vb/showthread.php?threadid=32323

OK so while we're waiting for the anti-Kelly crowd to get their act together and amuse us further with their anti-Kelly spiels, let's move on to more important topics. For example, let's look at Black Swans. Here is a simple example of a Black Swan : There is a 80% chance that you win...

Great post. Allow me to rephrase your rules to make sure I have them correctly. Correct as necessary. Rule #1 - get a robust system, one that is profitable over a decent range of parameter values rather than a narrow range. Rule #2 - get a profit factor at least equal to two. Rule...

Gamblers can't use Kelly because they make zero- and negative-expectation bets. Gamers with skills like card counters, poker professionals and some horse and sports bettors can use Kelly because they have positive expectation. So what should we be focusing on?

Ho-hum, another dumbvestor bites the dust. What else is new? We are traders, not investors. We don't get married to our purchases, we just take them to a nearby sleazy motel, screw them for all they're worth, then kick them out of bed in the morning. :p P.S. I don't treat women like...

Yes of course transaction costs and price gaps are a part of the trade returns used in the gummy formula. Why wouldn't they be? You're clutching at straws, hoping to justify Thorp's overly theoretical and unrealistic Kelly presentation. He came to Kelly from the gambling world and...

Thorpe overcomplicates things. Besides, his presentation is fantasy. He's talking about investors with no transaction costs in a world of continuous prices. I live in the real world where (a) I'm a trader, not an investor, (b) I pay real transaction costs, not zero transaction costs and (c)...

It's all been explained in my previous Kelly thread (qv). If I post the link for you then you won't become familiar with the search page which would be bad. Just use kut2k2 as the username, use Kelly as the keyword, check the title box at the bottom and hit the search button. Nothing wrong...

If the current performance standards suck (and they do), why cling to them? Tradition for the sake of tradition is silly. The Sharpe ratio is, pardon my bluntness, one of the shittiest statistics ever devised yet people cling to it just because it's traditional. Time for a fresh look at...

System Performance Score

"Best Guru to follow for value" gbos , for starters There are probably others ... I'll try to compile a list as time permits.

I have a sense of humor, but I just don't get your OP. :confused:

What's the punchline?

:) I didn't know your first post was sarcasm until you said so. NoDoji posts some good stuff. No doubt about your JH post though. :D

Still being sarcastic? :p

There is Good Kelly and there is Bad Kelly. This is Bad Kelly : K = p - (1-p)/(W/L) , where K is the Kelly ratio, p is the winrate, W is the average winning trade, L is the absolute value of the average losing trade. It is the result of some dunce shoehorning trading into the...

The question you should really be asking yourself is why you're bothering with the win/loss ratio at all when calculating Kelly.

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OK , I'll be a smart trend trader instead. :D

Not. At least not that I've seen. Doing it in real time like a moving average is difficult to impossible, and real-time analysis is what you need for trading.