Half kelly on whole vs full kelly on part of capital

[ButterflyEffect]

Obviously, the problem with discrete full kelly is you could think you have an edge at the black jack table from your card counting when in reality you are playing a negative EV game of craps.

Even more importantly though is I show continuous full kelly on QQQ buy and hold going back a year is 200%.
NVDA is 355% . DIA 175%.

I missed getting filled on a NVDA buy and hold in October and I show that trade at 720% full continuous kelly right now.

 

[ironchef]

Obviously, the problem with discrete full kelly is you could think you have an edge at the black jack table from your card counting when in reality you are playing a negative EV game of craps.

Even more importantly though is I show continuous full kelly on QQQ buy and hold going back a year is 200%.
NVDA is 355% . DIA 175%.

I missed getting filled on a NVDA buy and hold in October and I show that trade at 720% full continuous kelly right now.

I am not a statistics or math or financial expert, but I thought you only apply Kelly after you have collected enough statistics on your expectancy and you apply Kelly with those expectancy?

 

[murray t turtle]

Yeah, you can use Full Kelly on how much of your capital you are prepared to lose. So if you got 100K but only prepared to lose 20K. Then intially calculate your risk based on full kelly with 20K.

For stocks, margin requirements will eventually get in the way.

Even for overnight futures margin will eventually get in the way of going full kelly if you need to hold multiple positions.

Only intraday trading where you can get 50x or 100x and higher leverage, allows easy full kelly without worrying about margin.

%%
Good points , good %.
THAT may also explain why there are so few daytrading millionaires;
even though i'm sure Bright Daytrading Co had 1or2, but cant prove that.
[20% on one stock would be considered super agressive;
20% in ones business would seem to be way to tame/would be too tame for me, business. ].
20% down RE maybe fine ; 100% cash RE buy =fine + cant get forclosed]

 

[ironchef]

Only intraday trading where you can get 50x or 100x and higher leverage, allows easy full kelly without worrying about margin.

I get your other points. Can you elaborate on this?

Thanks.

 

[Businessman]

I get your other points. Can you elaborate on this?

Thanks.

2% risk is considered the high end of sensible amount to risk.
Lets say fully kelly works out at 12%.
So you need 6x the margin to do full kelly (compared to the margin needed for 2%).
If you have multiple positions there is good chance you use up all your buying power before you can reach fully kelly on all of them.

Intra day trading where you can buy 200 emini lots with a 100K account means you can put on full kelly size more easily.

 

[ironchef]

2% risk is considered the high end of sensible amount to risk.
Lets say fully kelly works out at 12%.
So you need 6x the margin to do full kelly (compared to the margin needed for 2%).
If you have multiple positions there is good chance you use up all your buying power before you can reach fully kelly on all of them.

Intra day trading where you can buy 200 emini lots with a 100K account means you can put on full kelly size more easily.

Thank you.

 

[murray t turtle]

I would advise actually taking x% of the money you aren’t risking out of the account and rebalancing when necessary. If you’re targeting half kelly and you miss some tail risk, you could way overshoot your vol target at the worst possible time. Sometimes in tail events, external limiters like broker partial liquidation, leverage constraints, siloed capital, etc. can end up helping us survive when usually they are an annoyance.

One way or another the real world ends up being a lot less tidy than our theoretical plans

%%
Good points;
auto liquidation or auto repo would give me some real hints about \gambling or using too much risk. At the end of the day, end of the week its your business........................................