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Does this mean you've given up on optimal-f?

Reminds me of the long-ago TIME magazine cover story called "Does Evil Exist?" Easily one of their worst productions ever. :D

What past value are you looking for that is now gone? P.S. I posted just yesterday a position sizing algorithm that is new to the trading world. A genuine ET exclusive! Not even the quants had figured this thing out. But maybe I'm just one of those crank engineers you blame for the downfall...

I can't believe you're comparing a down-to-earth, practical formula like Kelly to one of the quants' wackadoo pricing models. The instant I saw "Gaussian", I knew I was looking at pie-in-the-sky. Kelly makes no assumptions about probability distribution.

LTCM was trading nowhere near their real Kelly ratio. They were crazy-overleveraged, with a debt-to-equity ratio of like 25 to 1. If they had been using true Kelly, even ignoring correlations they probably would have been salvageable. Consider the following scenario: There is a 90% chance...

Here is a brand new (to the public) Kelly formula. It was designed for traders, not for gamblers. Trading is not a casino game. It doesn't have fixed probabilities and fixed payouts. Kelly formulae designed for casino games do not travel well when imported into trading. All that said, this new...

Kelly sizing doesn't necessarily produce large exposure, it depends on your trade return distribution. The main problem is sucky Kelly formulae (aka sucky Kelly estimators) that tend to oversize. Seriously what is known about Kelly in the public domain is almost criminal. Thorp knows what he...

Really? Lossrate = 1 - winrate They're right, that is boring. Winning isn't everything but that doesn't mean it's nothing. Without winning, there's no point in trading. You can easily minimize your losses by simply not trading. (The above equation applies only to active traders, it is...

No mention of it at Wilmott or Nuclear Phynance, which makes it suspect imo.

The problem with Kelly sizing is misapplication. This is not an inherent flaw of the Kelly criterion, it is a failure to fully understand it. There is more than one Kelly formula in the public domain and what almost all have in common is this: they were designed only for simple binary-outcome...

Not belittling this woman's achievement but only a tool like Cramer would declare her or any other innovator as "the next Steve Jobs.". Not every new genius is the next Einstein, and not every new entrepreneur is the next Jobs or Gates. Cramer needs to take a long vacation ... or retirement.

In the first post, the OP talks about "the obvious pre-requisite to trading any market.". A prerequisite is something that must be done or acquired before something else (trading, in this case). So looking at charts is just silly. Chart reading, for those who do it, is a part of trading, not a...

We have no idea what his position sizing is. He could be oversizing big time. I seriously doubt he's shorting anything, not even during his sim training. I love how the author is wowed by his first trade (8th grade math class). He bet on a metals company and his dad runs a scrap metal...

If you haven't figured out by now that the Kelly formula for betting and the Kelly formula for trading are very different, then there is little hope for you. I will give you a few hints, and leave it to you do the work. Or not. The best Kelly formula for trading (which is proprietary) has...

You didn't say (c). You said "...by certainly taking into account implied/expected price/return volatility..." Certainly Kelly has nothing to do with price volatility but it absolutely has to do with return volatility when the equation to be solved is 0 = sum[ Ri/(1+k*Ri) ]_i=1toN The Kelly...

Why would the bet sizing formula I applied to a gambling situation have anything to do with price volatility? I made a thread called "Kelly for traders". Read the first post so you can see what I'm talking about.

OK forget "Kelly". Too much unnecessary controversy tied to that name. Focus on "geometric mean maximization". For trading, not for gambling. GMM is undeniably based on the trade returns.

The Kelly fraction is based directly on trade returns. All their information, including their volatilities, are right there.

.50-.5/1.2 = .083333

I stand corrected: the average human is innumerate. :p :D