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Kelly for traders Bad Kelly

ET is the only website with the splendiferous System Performance Score. :p And the only site with the correct formula of Kelly sizing for trading. Not even the quant sites have that. I checked. :D

+10 Best post of the thread. Not thinking of just trading but all of human activity, I am constantly amazed at how many dumbasses think they're smart. It's incredible. "A man's gotta know his limitations." -- Dirty Harry

Optimal f is a fraud. http://pearlsforswine.wordpress.com/2011/07/17/the-optimal-f-fallacy/

Hi, Jack In a thread I posted in the Trading Software forum, I asked why system vendors don't supply optimal or even near-optimal position sizing in their packages now that such is available. Murray responded with a (broken!) link to his website about a position sizing tutorial! Given how...

Kelly trading only works with positive expectation. Gamblers by definition don't have positive expectation. Gamblers hang out at roulette tables, craps tables and slot machines, none of which are amenable to a Kelly strategy. Gamblers buy lotto tickets when the jackpot is below the...

I don't have any Kelly issues. Perhaps when you solve your reading comprehension issues, you'll finally figure out what the point of this thread is. :D

This from a guy who thinks Kelly is "a pretty simple calculation" yet can't give a straightforward answer when asked for his formula, as if it was some national security secret. :D Keep flattering yourself, I find it amusing.

There are many different forms of commercial trading software dating back decades and it is my grim suspicion that none of them do optimal position sizing correctly. I would love to find out otherwise. If the proponents of optimal f could explain why it is superior to true Kelly sizing, I'd...

I tried three different wifi portals and none of them could bring up your tutorial, so my guess is a webpage glitch.

Thanks for the link, justrading. :)

Thorp is not an idiot but he does overcomplicate the exposition of Kelly for the markets. The idiot here is you for not realizing this thread is specific to this forum and not a duplication of what I posted previously. "The same fucking subject" is crucial to successful trading and only a...

Please tell us why optimal f is more appropriate than Kelly. I keep hearing this but details never come out to support this claim. Thanks.

I googled scholar-d. There is no scholar-d. Could you please provide some of the links you talk about, at least the link that you used to get your Kelly formula? Thanks.

That link doesn't work for me. Perhaps you can explain here why optimal f is preferable to Kelly.

Sorry, I don't know what that means. Could you post the formula you use to calculate Kelly? Thanks.

How are you calculating Kelly? Thanks.

I feel like I already know the answer to question but it's best to ask it just the same. Is there any trading software that does optimal position sizing (aka Kelly sizing) the right way? There are several ways to calculate the Kelly ratio and most of them are wrong. I was just wondering...

OK ... I've shown the Sharpe ratio to be a crock. So when do we see this comparison between SPS and the Sortino ratio? [Edited by Magna: at OP's request this thread is Closed]

Unless you and Visaria are the same person, I wasn't talking to you. And most people see a lot of difference between 50 million and a billion dollars.