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OK, you described the Xi's as discrete events, now you're talking about them as continuous variables. Which is it? If they are discrete, I still think ARIMAX is the way to go, but if interaction is a factor, your model should look more like ... + c1*Z1 + ... + cb*Zb + g[1,2]*Z1*Z2 + ...

Regression is a model, and so is ARIMA(X). I never use regression myself precisely because it assumes a model for the data, and all I want to do is remove the noise from my time series. But I'm not dealing with exogenous inputs like the OP is. At least ARIMAX(p,d,q,b) doesn't assume a model...

Why "unfortunately"? No trader wants support for RWT. RWT says trading is impossible. Fortunately it is the RW model of the market that is impossible. It's been proven that stock price movements are not random walks. Debating this subject is like debating whether or not the earth is...

What you want is called an ARIMAX model (AutoRegressive Integrated Moving Average with eXogenous inputs) Y = ARIMA (p,d,q) + c1*Z1 + c2*Z2 + ... + cn*Zn , where Zi = 1 when Xi is present and Zi = 0 when Xi is absent. I think you need a minimum of 50 data points to make an ARIMA model...

I'm skeptical that you can learn anything from coin flipping. It's been proven that stock price movements are not random walks and coin flipping is absolutely a random walk. But there is undoubtedly a stochastic component to price movement as well as a potentially infinite number of trading...

The problem isn't based on any formula, my results are based on formulas. If the formulas are wrong, then the results are wrong and a person who really understood the mathematics could prove that. With numbers, not verbiage. You've been exposed as a fraud. As well as an idiot.

LTCM failed because they ignored Kelly. They were overleveraged to the hilt.

You gave me a challenge, I answered it. You weren't man enough to acknowledge that. Now I give you a challenge. Using example 2 in my thread, prove my Kelly results are wrong, with real numbers, not a load of verbiage. "If you dissappear [sic] it would mean that you are a hoax and a...

intrabill talks out of his ass and you think I busted. Looks like you both have to go back to school. Ask yourself why he hasn't addressed the issue of overbetting, which I proved is taking place with the simple formula. He can't, so he ignores it. Q.E.D.

Yes, we're all so highly amused at his years-long campaign of <s>disinformation</s> "humor". There's another word for it: trolling. :mad: Seriously, stock prices have nothing to do with random walk, quantum or otherwise. The Efficient Market Hypothesis has been discredited. And why...

Example 2 was intended to be a three-outcome betting situation to illustrate why the simple Kelly formula doesn't work for situations with more than 2 outcomes. What you're betting on is a draw of a green ball, because that is your only winning outcome. Getting a yellow ball or the red ball...

What other forums? And don't worry about me, slick, watch out for your own image. Your hangup is obviously semantics. If you look at my usage of "outcome", you'll see that it has been thoroughly consistent. Nitpicking at trivialities won't convey any real understanding of my message. Yeah...

Looks like you never got past example 1. More to the point, the gain equation was for the expected gain, not for random gains. Given that trade results are unlikely to duplicate each other, the gain equation was set up to account for all the individual trade returns. No assumptions were made...

Explain, and try to do so without foaming at the mouth like that fool goodgoing. Did you read example 2 in my thread? If so, which part confused you, or seemed to be "disinformation"? If not, why not? This is pure mathematics. You can't do it by your guts, you have to use your head. If...

It's clear the arrogant fool here is you, and unsurprisingly you are completely unaware of just how foolish you've exposed yourself to be. Welcome to my ignore list.

Did you even bother to click on the links I provided and follow the examples? It's clear as day what's wrong with the two-outcome formula, but not to the lazy or the innumerate. I pretty much agree with The Big D. Anybody who doesn't get it at this point has no business trading. But that's...

Each trade is a separate outcome. The odds of having two or more trades with identical returns (as if it was a gambling situation) are extremely small. So treat each trade as unique and calculate the Kelly fraction using the generalized formula I or gummy specified. And why would you...

I'm very leery of any scholarly paper with a typo in its title (EXPECT GAIN rather than EXPECTED GAIN). And Harris doesn't disappoint: he makes the classic and colossal mistake of reducing a multi-outcome situation to a two-outcome situation. Trading is a multi-outcome situation. This means...

No kidding. I haven't seen that much ineffectual hand-waving and attempts at distraction since the last "magician" I saw at an amateur talent show. :D Does RVince assume he's the only guy here competent in basic math? That nobody else here can follow the math behind Kelly and KNOW exactly...

Joe, you are correct. Ralph Vince has been blowing smoke up people's arses for years now because he is a vendor with something to sell, and trying to undercut Kelly is his particular schtick. As you pointed out, the mathematics behind Kelly are exact. The danger comes from oversimplifying...