Optimal position sizing

[kut2k2]

Quote from Daal:

Kelly is good for options where you know how much you will lose or win. Outside options the optimal F is more appropriate

Please tell us why optimal f is more appropriate than Kelly. I keep hearing this but details never come out to support this claim. Thanks.

 

[justrading]

Quote from kut2k2:

I googled scholar-d.

There is no scholar-d.

Could you please provide some of the links you talk about, at least the link that you used to get your Kelly formula? Thanks.

http://scholar.google.co.uk/scholar?q=position+size+Kelly+criterion&btnG=&hl=en&as_sdt=0,5

From Google Scholar

 

[trademeisters]

scholar.google.com

kelly papers by thorp are good bc he covers many applications and outcome types.

 

[Craig66]

Quote from trademeisters:

scholar.google.com

kelly papers by thorp are good bc he covers many applications and outcome types.

Nah, Thorp is an idiot according to the OP, one wonders how many threads he (she?) can start on the same fucking subject.

 

[kut2k2]

Quote from Craig66:

Nah, Thorp is an idiot according to the OP, one wonders how many threads he (she?) can start on the same fucking subject.

Thorp is not an idiot but he does overcomplicate the exposition of Kelly for the markets.

The idiot here is you for not realizing this thread is specific to this forum and not a duplication of what I posted previously.

"The same fucking subject" is crucial to successful trading and only a complete fucking fool would fail to realize that basic fact.

 

[kut2k2]

Quote from justrading:

http://scholar.google.co.uk/scholar?q=position+size+Kelly+criterion&btnG=&hl=en&as_sdt=0,5

From Google Scholar

Thanks for the link, justrading.

 

[kut2k2]

Quote from Murray Ruggiero:

Here is a link to a tutorial on optimal f on my TradersStudio.com site

optimal f tutorial

I tried three different wifi portals and none of them could bring up your tutorial, so my guess is a webpage glitch.

 

[kut2k2]

There are many different forms of commercial trading software dating back decades and it is my grim suspicion that none of them do optimal position sizing correctly. I would love to find out otherwise.

If the proponents of optimal f could explain why it is superior to true Kelly sizing, I'd love to hear that as well.

 

[trademeisters]

@craig### my own fault. i responded to somebody who can't google but yet has 3000 posts

 

[kut2k2]

Quote from trademeisters:

my own fault. i responded to somebody who can't google but yet has 3000 posts

This from a guy who thinks Kelly is "a pretty simple calculation" yet can't give a straightforward answer when asked for his formula, as if it was some national security secret.

Keep flattering yourself, I find it amusing.