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You seem to think you and I are the only two posters in this thread, so how oblivious to others are you? Bye!

Mister, I don't need your help because you are clearly confused yourself. You emphasized yourself: "I don't trust these things and don't use them.". Yet you're so concerned about the difference between discrete and continuous Kelly. Why? You don't trust any of them, so why all this concern...

What's keeping you from starting your own thread, some sort of mental deficit? Sheesh, dude, you got issues.

LOL OK, give a concrete example where CK provides optimal sizing. No more bullshit from anybody, especially a poser like you. Put up or STFU.

I wasn't laughing at you, ignorant one. That should have been clear from the context. I was laughing at the fact that many traders have embraced this CK formula as THE Kelly formula they should use for trading. As far as me not understanding Kelly, that is side-splitting hilarious...

So what you're saying is that even though this CK formula is all over numerous trading sites, it is only applicable to long-term investing. LOL! This clutching to things without fully understanding them is the same lazy mindset that created the Bad Kelly formula. No wonder 95% of...

Intriguing post. But I have to wonder: does losing all this money really prove that you have what it takes to be a trader? I'm very leary of people who say things like "he hasn't paid his dues.". What fucking dues? If somebody is qualified to do a job, he's already paid plenty of "dues."...

Thank you for what? Posting nonsense? Your Kelly fraction is your ideal trading fraction. It already includes a reasoned balance of risk and reward. If CK gives a value completely out of wack with your actual Kelly fraction, what possible good is it? "Your calculated risk"? What is that...

It still somewhat amazes me how half-Kelly has half the risk of full Kelly yet retains most (75%) of the expectation of full Kelly. Almost seems magical.

There would be if any of those market-neutral punters actually had the guts to make a directional trade. :D

You'll have to ask the creators of the inadequate formulae why they did what they did. I explained the "logic" behind the Bad Kelly formula in the "Bad Kelly" thread. I do not know (nor do I care about) the "logic" behind the CK formula. The appeal of formulae is no mystery. Mathematical...

That's not a knock on Kelly, that's just a knock on the incompetent. Just because the clueless expect miracles from something that has merit, that doesn't detract from the merit that is actually present. Wrong again. The math behind the Kelly criterion was around centuries before John L Kelly...

Thanks! :)

*bump*

Leverage? I've never seen a legitimate k value that approaches anything that can be classified as "leverage". If you're using the ludicrous CK formula to calculate your k values, no wonder your results are so off. Go to the Trade Management forum, I've written about this extensively there.

Yes. You cannot normalize expectation. That makes it meaningless. What's the point of that?

Nope. E(return) == (.89)(.13) + (.10)(-.05) + (.01)(-1) == +0.1007 There is no geometric return. There is however a geometric growth rate. GGR[f] == ((1+f*.13)^.89)*((1-f*.05)^.10)*((1-f)^.01) where GGR is the geometric growth rate The goal is to find k, the value of f that...

If the Kelly formula you're talking about is the CK formula, it's been debunked. http://www.elitetrader.com/vb/showthread.php?t=283715

Not so hairy afterall. What you want to maximize is this: (1 + (w_1,1)(R_1,1,1))*(1 + (w_1,1)(R_1,1,2))*...*(1 + (w_S,T)(R_S,T,V)) where S is the number of strategies (any positive integer) , T is the number of instruments (any positive integer) , V is the number of trades per...

Doing this without the asinine assumptions that make up the Markowitz theory is quite a challenge. You'll need three indices: one for the strategy number, one for the instrument number and one for the trade number. So something like R_i,j,k might represent the k'th trade return from applying...