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Depends on what your half kelly is. Suppose you think that your SR is 1.0 implying annualised vol of 100% full kelly, 50% half kelly. If you run at 50% vol on a quarter of your full capital, then on an average day you'd lose 50% / 16 ~ 3%. It's not infeasible you'd lose 10% in one day and have...

I don't think you can do this without setting up multiple accounts, one per portfolio. This is relatively straightforward and they can all come under the same user id. The alternative is to do the portfolio disaggregation in your own code. GAT

One downside is you will do a lot more position size related trading So if you lose 12.5K you'd cut your position in half; then double your positions when you make it back. IMHO it's better to trade an eighth (half times a quarter) optimal F on the full amount you're willing to lose. If your...

The latter. I am rich beyond my wildest dreams. Admittedly, my dreams aren't that wild. GAT

I'm presenting to the MTA London chapter on 19th April https://www.mta.org/event/united-kingdom-chapter-meeting-featuring-robert-carver/?instance_id=3225 Non members welcome GAT PS: I am not a member of, and I don't endorse in any way, the MTA

Andreas is a man GAT

Limit orders http://qoppac.blogspot.co.uk/2014/10/the-worlds-simplest-execution-algorithim.html GAT

The signal there isn't the forecast, but the forecast multiplied by the instrument weights, IDM, and a scalar related to how much capital is at risk. Notice how each multi signal unit is worth around £710 of annualised risk, in fact it's exactly $1000 (for reasons lost in the mists of time I...

By "different markets" I mean something like say equity futures and corn futures, or whatever is relevant to you. This is research for a presentation I'm doing* so please answer as honestly as you can, and perhaps give reasons if you have time. GAT * I already "know" what I think is the right...

Good practice is to minimise currency exposure. I try and cover my margin, but nothing more. This is especially true for EUR/ CHF where you can now be charged for cash balances. Wheras in a higher interest currency like KRW I might allow myself to build up a bit of an excess before converting...

If I was you I would do (1). That will mean you can continue trading around your job without a big time commitment. Then you've got a safety net if things go wrong and you can more easily keep your cool and avoid mistakes. (2) is probably okay. Bear in mind that you won't get consistent profits...

I trade hog futures.... albeit more slowly. I would imagine that running a market making strategy on a 'flat line' is highly profitable. GAT

"Every choice has its own disadvantage. If some broker intentionally change web page, then I do NOT use it any more." Then you'll use each broker once, for about 6 months maximum. "Except the possible webpage change, would you accept advantage of web-crawling, such as Robinhood with NO API...

New mexico. Hmm that's where http://www.predict.com/introduction.html are based. Thanks for the link. GAT

You already asked the same question on another thread. Only difference is this time you mentioned a specific product. But it doesn't change the underlying problem. So guess what, this is still a bad idea. This is your key misconception: since probably ALL brokers provide website and therefore...

http://www.battlefin.com/ IMHO the evaluation periods on competitions are far too short for the result to be anything but luck except for people who trade really quickly. GAT

It would be £30660 / £1.2m = 2.55% GAT

Yes maybe the name is confusing. But the account size isn't wrong; it's exactly where I set it. This facility to set a different account value is actually very important and useful. Again an example of a good product, but not very well communicated. GAT

Hi NL The discrepancy between NAS and assets over time in my account is not an error. If you read the FS information you can choose to eithier have a fixed NAS (essentially the asset base value used to calculate % returns from the actual $ returns you make) or use the actual account value. The...

I hesitate to add to this explosive discussion, but I've done some research of my own on this subject. I agree with some of the points already made, but I'd like to make a couple more. Let's assume you're using your own stop levels that you don't disclose; rather than broker stops. I realise...