I think for real traders with a real track record it is evident without reference to math. Optimal anti-martingale bet sizing theoretically never blows up but in practice you are left with a fraction of the capital, not even enough to post margin. If this happens at start - and it happened to me once or twice in the past- you cannot go on trading even if the system is profitable as n goes to infinity. The Binomial distribution kills you. The only way to minimize risk of ruin is with small fractional percent risk. Forget about optimal. Binomial distribution random outcomes can kill the most successful systems in paper. Real traders call it a bad streak of consecutive losses. No need to know any math. Actually, math can do more harm than good in the absence of experience. This is what happened to Wall Street geeks. A black swan and they are looking for a job in food delivery.
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How do you determine your max bet size?
- Thread starter ScoobyStoo
- Start date
I think for real traders with a real track record it is evident without reference to math. Optimal anti-martingale bet sizing theoretically never blows up but in practice you are left with a fraction of the capital, not even enough to post margin. If this happens at start - and it happened to me once or twice in the past- you cannot go on trading even if the system is profitable as n goes to infinity. The Binomial distribution kills you. The only way to minimize risk of ruin is with small fractional percent risk. Forget about optimal. Binomial distribution random outcomes can kill the most successful systems in paper. Real traders call it a bad streak of consecutive losses. No need to know any math. Actually, math can do more harm than good in the absence of experience. This is what happened to Wall Street geeks. A black swan and they are looking for a job in food delivery.
Quote from intradaybill:
I think for real traders with a real track record it is evident without reference to math. Optimal anti-martingale bet sizing theoretically never blows up but in practice you are left with a fraction of the capital, not even enough to post margin. If this happens at start - and it happened to me once or twice in the past- you cannot go on trading even if the system is profitable as n goes to infinity. The Binomial distribution kills you. The only way to minimize risk of ruin is with small fractional percent risk. Forget about optimal. Binomial distribution random outcomes can kill the most successful systems in paper. Real traders call it a bad streak of consecutive losses. No need to know any math. Actually, math can do more harm than good in the absence of experience. This is what happened to Wall Street geeks. A black swan and they are looking for a job in food delivery.
Couldn't agree more.
An interesting piece...
The Incredibly Shrinking Market Liquidity, Or The Upcoming Black Swan Of Black Swans
Just watch this royally fuck all the quants out there who have even a hint of non-adaptive volume calculations built into their models.
my max bet size is never more than 3% of my account.
i take 3% and get X then I take the stock price minus the price i want my stop at and get a number, then i divide that by X and get the number of shares I need for that trade.
i take 3% and get X then I take the stock price minus the price i want my stop at and get a number, then i divide that by X and get the number of shares I need for that trade.
Quote from cashmoney69:
my max bet size is never more than 3% of my account.
i take 3% and get X then I take the stock price minus the price i want my stop at and get a number, then i divide that by X and get the number of shares I need for that trade.
Do you always know the stop price as soon as you get your stock?