Optimal position sizing

[trademeisters]

"I find it amusing."

Good to know you can find at least one thing on your own.

Build on that and you'll solve your kelly issues.

 

[kut2k2]

Quote from trademeisters:

"I find it amusing."

Good to know you can find at least one thing on your own.

Build on that and you'll solve your kelly issues.

I don't have any Kelly issues.

Perhaps when you solve your reading comprehension issues, you'll finally figure out what the point of this thread is.

 

[goodgoing]

Kelly is for gamblers and eventually losers.

 

[kut2k2]

Quote from goodgoing:

Kelly is for gamblers and eventually losers.

Kelly trading only works with positive expectation.

Gamblers by definition don't have positive expectation. Gamblers hang out at roulette tables, craps tables and slot machines, none of which are amenable to a Kelly strategy. Gamblers buy lotto tickets when the jackpot is below the break-even point.

Losers as a rule don't have positive expectation. Gamblers eventually become losers. Traders with positive expectation who overtrade eventually become losers. The correct Kelly fraction prevents overtrading.

 

[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

Optimal f is a fraud.

http://pearlsforswine.wordpress.com/2011/07/17/the-optimal-f-fallacy/