Both books are excellent. Good suggestions. I especially liked Profitability and Systematic Trading because it explains really well the notion of risk of ruin and its relation to consecutive losers using basic math. The author also explains well the differences between various position sizing approaches and their relation to trading timeframes. On page 79 of the book the author presents a practical risk and money management plan that IMO should be closely followed by every trader. This is definitively one of the best books on systematic trading and risk management I have ever read.
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Best book on money management?
- Thread starter a529612
- Start date
Both books are excellent. Good suggestions. I especially liked Profitability and Systematic Trading because it explains really well the notion of risk of ruin and its relation to consecutive losers using basic math. The author also explains well the differences between various position sizing approaches and their relation to trading timeframes. On page 79 of the book the author presents a practical risk and money management plan that IMO should be closely followed by every trader. This is definitively one of the best books on systematic trading and risk management I have ever read.
Based on last weeks numbers Kelly suggests I should risk 25% of account per trade. LOL
Trades: 13
RR: 2.55
WR: 0.46
Even 1/4 Kelly feels crazy.
Trades: 13
RR: 2.55
WR: 0.46
Even 1/4 Kelly feels crazy.
Quote from sheepsucker:
Based on last weeks numbers Kelly suggests I should risk 25% of account per trade. LOL
Trades: 13
RR: 2.55
WR: 0.46
Even 1/4 Kelly feels crazy.
If you think 13 trades is a reasonable basis to determine the actual performance characteristics of your system, then no money management technique will help you.
I'm also not convinced the formulas in the posted link are correct, but I don't have a chance to check them now. The reason I'm skeptical is that RR and WR are NOT enough to determine Kelly bet sizing. The full PMF of outcomes, including estimation of a fat tail of bad events, is required. Doing this correctly will help reign in the overly large bet sizes.
Quote from ronblack:
Both books are excellent. Good suggestions. I especially liked Profitability and Systematic Trading because it explains really well the notion of risk of ruin and its relation to consecutive losers using basic math. The author also explains well the differences between various position sizing approaches and their relation to trading timeframes. On page 79 of the book the author presents a practical risk and money management plan that IMO should be closely followed by every trader. This is definitively one of the best books on systematic trading and risk management I have ever read.
I agree about the book by Harris. I think though that the most interesting chapter in that book is not the one about risk but the one about trading system synthesis and how it differs from conventional analysis. His software APS Automatic Pattern Search is based on these ideas. This is a short review
http://www.onlineforextrading.com/forex-tools/forex-trading/aps-automatic-pattern
heart and soul is initiative.
A large amount of capital can be controlled by technical trading systerm. Not much enough, stop lose is the efficeient enough.
Just my opinion
A large amount of capital can be controlled by technical trading systerm. Not much enough, stop lose is the efficeient enough.
Just my opinion