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Argumentum ad authoritatum is a pretty big logical fallacy. Even experts make mistakes. That said, here are my "credentials": http://www.elitetrader.com/vb/showthread.php?s=&threadid=102205

Evidently I've misunderstood your use of "continuous.". That said, I have the following observations. There's no explanation for why standard deviation appears in the denominator of your CK formula. Based on what I know about the Kelly fraction formulas, it doesn't belong. What is excess...

What newer threads? I looked and saw no newer threads. The title of this thread is perfect for what I wanted to post, and a post is not always solely directed at the OP, it is often, as in my case, directed at the thread topic. But if you can show me where these newer threads are, I...

All I know is that my formulae are working for me, and part of that comes from not assuming some mythical stationary distribution of trade returns for which there is no evidence. I calculate my Kelly fraction based on trades that actually happened, not trades that "might" happen.

"Continuous Kelly" sounds like an oxymoron. Trades are discrete events and the Kelly fraction can only be calculated from solution of a discrete polynomial equation of trade returns. The Kelly formulae I use look nothing like what you posted. If people are using this "continuous Kelly", small...

It's called recycling. No need to always start a new thread on a topic that's already been covered before. If a member has something new of substance to add like I did, he can just post to an existing thread like I did. What exactly is your beef here? You certainly had no hesitation adding...

Standard deviation is the lazy man's measure of risk.

"Is ATR a good way to measure volatility?" No, ATR is a stupid finish to a smart start. Like staffpro said, you have to normalize it. Here's how. For each bar, divide the true range by the average of the high, the low, the close and the previous close. (For the first bar, divide the...

The Sharpe ratio sucks ass. Always has, always will

+1 The OP is a tool. He expects everything to be handed to him for free. Notice how he doesn't even say thanks to those who gave him good, free advice. Seems like this place is attracting more and more dregs of humanity than quality members.

Yeah, like the f'ing Righty/Fascists wouldn't want to get their paws on THIS.

Like I said, a good man. http://www.independent.co.uk/news/people/news/paul-walker-secretly-bought-iraq-war-veteran-engagement-ring-worth-9000-8985815.html

Your friend is the naive one. Lots of things that started out as arts (medicine, engineering) have turned into sciences. But not everyone in a field that is still primarily art has what it takes to make the transition, so they tend to denigrate those who are trying. They are "aided" by the...

Use the Oanda advice given by riskaddicr and use the gummy fraction to size your trades after the first ten small ones. Your money won't grow as fast as you hope unless you have a really great strategy but you won't be overtrading either.

Bearish or volatile measured how? With daily data, right? What is measured on a daily scale is utterly irrelevant to what happens on a 1-minute scale. There are plenty of down days in any 6-month period. How are those not "bear markets" on a 1-minute scale? There are plenty of up days in...

My mistake. I thought you were making a sane inquiry. If your question is how many trades you can stuff into 252 bars, my response is I don't know and couldn't care less.

400 to 600 trades. JMO.

Here's the thing about statistical significance: nobody knows for certain how many trades you need. Some people like to pretend they know but they're just guessing. We know we need more than the 30-40 bare minimum number of trades if trades followed a Gaussian distribution because of course...

I'm not one for discretionary trading, it just doesn't work for me. Not saying it doesn't work for anybody at all but based on what I've read, it rarely works for anybody else. That said, I do know that any trading method, be it discretionary or mechanical, has to have an edge in order to be...

Are you serious? There are millions of bars of free eod data. 252 bars per year, and decades of data for longtime stocks. GE goes back to 1892, yahoo has GE data from 1962. Plenty of other old stocks to system test with. Heck, even MicroSoft goes back three decades. Unless your system is...