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Based on what I've been able to get from the net about blackjack players playing multiple hands at the same time, you can use the following formula. If S represents the number of simultaneous trades, then multiply each full Kelly fraction by (1+S)/(2*S). This works so long as the sum of all...

Thanks, Blotto, for your thoughtful post. You've done a better job than I did of stating the case for Kelly.

Since the word "drawdown" means a series of losses, not a single loss, and since adaptive Kelly shrinks with each loss, your assumption that Kelly cannot address drawdowns is simply wrong. Since my Kelly calculations require neither winrate nor a win/loss ratio, then by your own logic, my method...

Nothing wrong with using fractional Kelly for multiple trades. My point is that arbitrary fixed position sizing is woefully suboptimal as a money management strategy. Just off the top of my head, I would divide each individual Kelly fraction by the total number of simultaneous trades...

That's not a problem with Kelly, that's a problem with your sucky strategy that drains your account down to nothing. :eek:

You apparently misunderstand fractional Kelly, which is not "fractional comfort". Perhaps you should read up on fractional Kelly before cavalierly dismissing it as inappropriate. It's very popular among certain traders for good reason. All I'm saying is picking an arbitrary "comfort size"...

Those who are looking for comfort can always use fractional Kelly instead of full Kelly. But both require knowing what the real Kelly fraction is. Just guessing what position size to use is so suboptimal, it is actually detrimental.

If you bothered to look at the Kelly equation, you'd realize that it is not static. Ergo, the Kelly solution is not fixed, it is adaptive. In a drawdown (aka a series of loses), the Kelly fraction will shrink, thus reducing exposure (aka risk). In a series of wins, the Kelly fraction will...

I don't know what you mean by "trade odds" but fortunately I don't need them. My Kelly fractions are based entirely on trade returns, which are calculated with complete accuracy. This is obvious from the Kelly equation which I have repeatedly referenced in this thread and elsewhere.

Depends on whether you're a scientific trader or a discretionary trader. For both, you have to get healthy and stay healthy. Proper nutrition, proper exercise, proper rest. For scientific trading, you have to figure out something about price movement that isn't common knowledge and then...

We may have a semantics problem here. To me, V tops and bottoms, price gaps, etc. are not HF events, they are singularities. The word "frequency" to me means repetition, and for example a V top isn't rapidly followed by a V bottom which is then rapidly followed by another V top, etc. A...

Price is noisy. The trick is to remove the untradable high frequency components without losing the signals present in the low frequency components. Not easy. The problem with most technical indicators is not that they manipulate price, but that they do such a pisspoor job of it.

If all you're gonna do is buy and hold, not much point in hanging out in a trading forum. The main goal of trading is to do better than the market, e.g., Ed Thorp's book Beat the Market.

Wrong. Wrong. I've already addressed both these subjects. If you're too lazy to do a search to find the truth, that's your choice but this disinformation you're spreading is uncalled for.

Far from it. You should read the threads "Kelly for traders" and "Bad Kelly."

As a yahoo group member, I've always felt this company was run by a bunch of rank amateurs. No surprise they'd end up making a stupid purchase like this one.

So now it's a 50/50 proposition? See, this what marks you as a gambler, not a trader. Traders don't take bets lacking positive expectation. We couldn't care less about bets with zero or *gag* negative expectation. No money management strategy will turn them into positive expectation...

How am I not contributing when I just explained to you why Buffet does what YOU brought up? And how is it a constant betting size thread when the title is "Increasing Size during Drawdown", dumbshit? Have you been checked for Alzheimer's lately?

According to Thorp, Buffet is a Kelly investor, which is an anti-Martingaling risk management strategy. If he buys more stock as the price goes down, it's because the company fundamentals tell him to, not because of some Martingale mysticism.

MT4 and MT5 are free because they leave your strategies wide open to the brokers who are paying the freight. Sounds like strategy sucking vampire bats to me. Lol