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I run several monte carlo simulations with for a 50/50 system with a 2 to 1 payoff (2 gain or 1 loss). 5000 trades each for 34 trials. With full-kelly the avg max DD -99.4% and it reached that DD in almost every trial and when it didn't, it got close (-98%, etc) With half-kelly the avg max DD...

Thing is, if you trade long-enough, its a near certainty. So I guess it depends on how frequently does your system generate trades. A 0.1% probability of death is no big deal if it happens every 10 years but if it happens every day, its certain to be a disaster. Also, wont your figures change...

I downloaded the CBO excel dataset and I found out that since 1968 to 2017 the average US deficit was -3.5% or -2.9% if the surplus of the SS trust fund were included. Regarless of the method used, average US Nominal GDP growth during that period was 6.5% (roughly 3% real growth and 3.5%...

The answer is about 10%. The premarket session does about 2% of the total SPY volume (counting premarket + RTH + after hours). The Afterhours session does 19% (!). About 12% of that 19% is the 30 minutes after the close. The truth is that the market doesnt not close at 4pm, it actually closes at...

In theory no but there were some signs that some ECNs were selling that information indirectly to HFTs a while back. IIRC Bodek and Nanex exposed that when it came out. But usually, hidden will be hidden

some brokers only allow premarket trading after 8am when a number of ECNs start trading. So i tend to think in terms of the "ARCA and NSDQ premarket" and then the rest of the premarket from 8am to 9:30am

What do you think? I will post the answer later. I'm considering the ENTIRE premarket and AH session

Chamath Palihapitiya says VCs and tech investing is a ponzi right now, very interesting points

There plenty of warning signs but they were reserved to Hildebrand's wife

I just calculated some statistics on my historical trading results (mostly day and swing trading of american stocks) and I found out that: My top 20% of gains account for 79% of all my gains My top 20% of losses account for 75% of all my losses The bottom 50% of all my gains account for 5% of...

I guess some people are drawn to these option systems because 1) They dont have the confidence that they can find other positive expectation systems. They dont feel competent or motivated enough to find/develop them so they just stick to the first simple system that they can find and understand...

Lots of perma option sellers are lured into the strategy because of its 'positive expectation', they will read studies on why options are consistently 'overpriced' and hence think that its a great deal to sell them. I did a little monte carlo simulation on a normal trading system vs a typical...

Here is a fun fact, if you bet the full kelly over a long enough period of time you are guaranteed to have a 99.9% drawdown. If you bet 1/2 Kelly, you would think that number would drop a lot but no, you will still very likely to have a -~90% drawdown. The frequency of the significant drawdowns...

Its not really macro but it does contain some market knowledge its good to be aware of. I wrote an article talking about the differences between the open, close and mid-day periods http://www.beathft.com/?p=164 Some results from the backtest -As a block, the mid-day period (often hated by day...

Buffett bought BRK shares at ~$205 (my estimate) according to his interviews and PRs after they announced the new buyback program. He has ~$80B in cash to buyback stock. The stock right now is at $206, so its an interesting situation. Of course, his estimate of intrinsic value can be revised...

There is a potential short trade coming in terms of shorting Naz/QQQs into a big enough bounce with a stop at a logical resistance area and a target at this -15% median decline (and since QQQs are more volatile, the drop would be larger). Of course, its really hard to hold through the whole...

I dont expect a recession anytime soon so that could limit the decline. The median SPX decline outside a recession is -15%, the average is -19%

It looks to me that what is going to make this SPY drop tough to portfolios is the fact that people are bleending from both sides of their books. Sometimes in 3 parts (stocks, bonds and gold). This was one of the reasons why I was preferring cash to bonds ever since Trump got elected. I was long...

Lets say you have two accounts, you set a limit order in a stock in one account and hit it in the other account. Is that against a rule? I'm referring to situations where the amount of volume is minimal (so wash trading is out of the question). What if the accounts are in different legal entities?

Tks for these figures, it was what I was looking fo