Is it possible to increase the mathematical expectation?

Wow. You killed the joke.

Knock knock.
come on in.

TheDawn said:
No that's like can I take the unpopular quirky girl in highschool and make her prom queen by shrinking her ten size smaller (smaller position size) or make her go with someone else who's prettier (diversification). With the adjustment in position size, she's still not going to get any dates but the impact is smaller because no one will notice her and through diversification, she might end up getting some attention but the prettier girl that she is going with might end up losing some potential dates because some people are put off by the fact that she's with a quirky girl.

The quirky girl is actually very pretty and funny and smart (very high win rate)but somewhat she always ends up just being unpopular and nobody wants to be with her (zero expected value). So the most obvious thing to do here is still find out why a girl like her who has such high win rate still ends up with a zero expected value and fix that so she will end up with higher expected value.
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Sekiyo said:
It implies your model is better at pricing odds than the market. Which in most case isn’t true.

The closing odds from the big and liquid exchanges (Pinnacle & Co) are fairly efficient.
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1) Please define "your model". I've designed many. Most don't work good enough to trade with. But a few do. And those run live every day the market is open.

2) How are you defining "are fairly efficient"? The answer is complex. If you know nothing about the underlying data then you might make that assumption. But ultimately I suspect your answer is subjective and you have no process to measure this. Which is the whole point. Figuring out how to measure that one thing leads to a profitable trading model.
 
Gazillionaire said:
Maybe these sites would provide a clearer explanation...

https://www.richmondquant.com/news/...tfolio-returns-can-be-created-out-of-thin-air

https://thepfengineer.com/2016/04/25/rebalancing-with-shannons-demon/

For your reading pleasure...what are your thoughts?
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I must say your answers was really helpful. I never knew of both theories before today but I always reasoned that some how diversification and varying trade size(rebalancing) should have some effect on my returns. Although it’s all theory(stocks don’t double or halve regularly in that manner) and real market is entirely different beast, this information would be useful for me to carry out more research and improve my money management.

Usually most of my questions on ET don’t give me useful answers but yours was indeed insightful. Thanks again.
 
TheDawn said:
If the win rate is so high, why is the final expected value zero? There is obviously something wrong there. One should find out what's wrong there, what's causing a high win rate to result in a zero expected value at the end and go from there.
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This is typical of scalping systems that have a 70-90% win rate and the average profit is quite small. In many cases, the commish and fees will turn such a system into a loser.
Best solution IMHO:
diversify with multiple instruments that are not correlated and multiple algos that are not correlated.
 
Peter8519 said:
There is even a book about this. I have not read it. Even if it's true, I cannot do it since I am not a physicist.
The Man Who Solved the Market by Gregory Zuckerman
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This is a fantastic read. Building his trading platform as well as the trading algos almost made Jim Simon go crazy.
 
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