A guide to computerized Trade Management

My understanding of the Kelly criteria is that it is a type of fixed fractional where you risk a % of your account balance that is determined something like 50% of the optimal fixed fraction. Optimal fixed fraction is what will give the maximum terminal account equity.

I have never heard of the "adaptive" Kelly. Could you explain what it is adapting to? I imagine that the fixed fraction is varying based on something, but what is the something.

Thanks
 
Quote from rdencpa:

My understanding of the Kelly criteria is that it is a type of fixed fractional where you risk a % of your account balance that is determined something like 50% of the optimal fixed fraction. Optimal fixed fraction is what will give the maximum terminal account equity.

I have never heard of the "adaptive" Kelly. Could you explain what it is adapting to? I imagine that the fixed fraction is varying based on something, but what is the something.

Thanks
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Adaptive position sizing allows recalculation after each trade (backtesting and live).
 
I know TradersStudio does do this-adjust the sizing after each trade based on the currently available capital. I think that if a backtestor doesn't do the sizing on each bar it wouldn't be much good.

There are two parts to the backtester in Studio, a session level where all signals from a system are tested without taking account of capital limitations and a trade plan where actual trading can be simulated. Both can be run on a single market or a portfolio of markets. The tradeplan can run multiple sessions,if desired. By doing so you can test the effect of trading a portfolio of systems.
 
TradersStudio trade plans give you access to current account size with open position profits. In addition you can send messages to the systems on a market by market basis on each bar. This means you can exit a trade for rebalancing on the close of the next bar based on money management calculatios.

You have total control and can do whatever you need to with TradersStudio's money management.
 
Quote from Murray Ruggiero:

TradersStudio trade plans give you access to current account size with open position profits. In addition you can send messages to the systems on a market by market basis on each bar. This means you can exit a trade for rebalancing on the close of the next bar based on money management calculatios.

You have total control and can do whatever you need to with TradersStudio's money management.
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Apparently not. I ask how TradeStudio does adaptive Kelly and you respond with glittering generalities. I expected as much, but it's still a little disappointing.
 
Quote from kut2k2:

Apparently not. I ask how TradeStudio does adaptive Kelly and you respond with glittering generalities. I expected as much, but it's still a little disappointing.
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I was correcting the post rdencpa made about tradeplans. It was not 100% correct. I don't have kelly but do have a example of adaptive optimal f. F_WindowSize is the number of trades used to calculate f. I normally use 30. This algorithm calculate f, on a market by market basis. This is why we divide the money and use a different sub account for each market by dividing by the number of markets in the trade plan.

Sub AdaptiveFManagement(steps,F_WindowSize)
Dim S As Integer
Dim M As Integer
Dim DollarPerTrade
Dim StartAccount
Dim objMark As TSProcessor.IMarket
If tradeplan.MarketType=0 Then
If Tradeplan.SummEquity<tradeplan.MarginForOneLot Then
MsgBox "not enough money"
StopRun
End If

If Tradeplan.SummEquity< Tradeplan.TotalMarginForPlan Then
MsgBox "Margin Call Account below minimum margin required"
StopRun
End If
End If
DollarPerTrade= tradeplan.SummEquity/MarketsInPlan()

For S = 0 To TradePlan.SessionCount - 1
TradePlan.Session(S).UnitSize = 1

For M = 0 To TradePlan.Session(S).MarketCount - 1
objMark = TradePlan.Session(S).Market(M)


objMark.EntryNumUnits =Min(Floor(DollarPerTrade/CalcOptimalF_TP(steps,FWindowSize, TradePlan.Session(S).Market(M))),Ceiling))

objMark.ExitNumUnits = objMark.NumContractsHeld
Next
Next
End Sub
 
Quote from Murray Ruggiero:

I was correcting the post rdencpa made about tradeplans. It was not 100% correct. I don't have kelly but do have a example of adaptive optimal f. F_WindowSize is the number of trades used to calculate f. I normally use 30. This algorithm calculate f, on a market by market basis. This is why we divide the money and use a different sub account for each market by dividing by the number of markets in the trade plan.

Sub AdaptiveFManagement(steps,F_WindowSize)
Dim S As Integer
Dim M As Integer
Dim DollarPerTrade
Dim StartAccount
Dim objMark As TSProcessor.IMarket
If tradeplan.MarketType=0 Then
If Tradeplan.SummEquity<tradeplan.MarginForOneLot Then
MsgBox "not enough money"
StopRun
End If

If Tradeplan.SummEquity< Tradeplan.TotalMarginForPlan Then
MsgBox "Margin Call Account below minimum margin required"
StopRun
End If
End If
DollarPerTrade= tradeplan.SummEquity/MarketsInPlan()

For S = 0 To TradePlan.SessionCount - 1
TradePlan.Session(S).UnitSize = 1

For M = 0 To TradePlan.Session(S).MarketCount - 1
objMark = TradePlan.Session(S).Market(M)


objMark.EntryNumUnits =Min(Floor(DollarPerTrade/CalcOptimalF_TP(steps,FWindowSize, TradePlan.Session(S).Market(M))),Ceiling))

objMark.ExitNumUnits = objMark.NumContractsHeld
Next
Next
End Sub
More...
Thanks.
 
What other examples would you like to see ?
 
Using Tradersstudio can I see the correlation between trading systems. Also for users of Trading Blox is there any way to see this in Trading Bloxs.
 
Quote from JaiSreeram:

Using Tradersstudio can I see the correlation between trading systems. Also for users of Trading Blox is there any way to see this in Trading Bloxs.
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Yes we have a correlation matrix between systems in a trade plan. It measure the correlation of the equity curve of each system.
 
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