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I wouldn't go broke, because there is a difference between a math problem and reality. I run my actual trading account at something like one fifth Kelly. GAT PS In real life there is rarely extra credit for more than one significant figure ...

75% I got just by setting it up in excel to optimise the expected log utility (weighted log of each outcome). That should account for all the moments. 50% I did just looking at the mean and standard deviation, and using the normal formula for that. This is obviously a negative skew trade, so...

I got 50% just looking at the first two moments, and 75% looking at all of them. Which feels wrong. So I've probably made a mistakae GAT

You're probably in the wrong place http://www.fool.com/how-to-invest/thirteen-steps/index.aspx GAT

" I recollect that you are ambivalent towards using stops, and as far as I can make out, you do not use them." Not true. There are two ways I like to trade - with explicit stops If you (re-) read chapter 13 you'll see a description of a system using stops. Basically you have discrete...

I just gave you another like Thanks for the formula GAT

Hi Yes this is a work in progress... csvdata is using data from my existing database, which is basically daily quandl data, then for the last couple of years I've been sampling intraday mid prices from IB tick stream every hour or so, plus closing prices (which are always timestamped 23:00)...

I've just written a blog on this topic http://qoppac.blogspot.co.uk/2016/01/computers-vs-humans-considering-median.html (ok it's a cold thread, but it's not like the question ever went away...) GAT

Think you meant to put this on private thread!

I've plugged in optimisation code so that forecast and instrument weights can be estimated, also diversification multipliers: http://qoppac.blogspot.co.uk/2016/01/correlations-weights-multipliers.html

Define what you mean by algo trading GAT

+1 I have a GBP400K trading account (would be more than that, but I take all profits above the HWM away from it) and a significant chunk of money in 'buy and hold' investments (so I do the vanguard thing as well). I buy and sell stocks, but not as part of my trading account. I'm UK based...

I'm assuming you've read my book already :-) If you need more detail then is probably the best book specific to trading. If you're really serious about it then is the best book in terms of giving you an understanding of distribution of sample statistics. GAT

He killed himself (as well as the other people) due to extreme distress. Probably the most famous example of someone for whom day trading was a bad thing. GAT

https://en.wikipedia.org/wiki/Mark_O._Barton

My interview with Michael Covel is now out: https://www.trendfollowing.com/2016/01/21/ep-417-robert-carver-interview-with-michael-covel-on-trend-following-radio/ enjoy GAT

done

Tax take is about a quarter (it's classed as capital gains, which attracts a marginal rate of 28%). Some goes towards living costs; but I've got enough other investment income to cover most of that. So most of it is ploughed into buying other investments; firstly through funding ISA...

You forgot weight and volume Probably this guy GAT

Another milestone this morning - just passed 500K of accumulated profits (before taxes, sadly) GAT