Position sizing and conversions

[UVXY20]

If you don't have any risk, (except for, perhaps, slippage or execution risk -- fat finger mishaps), how do you position size conversions and reversals?

 

[blueraincap]

Kelly criteron

• https://www.econstor.eu/bitstream/10419/55526/1/685609758.pdf
  
• https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2063848
  
• https://www.hsba.de/fileadmin/user_...nding_on_asset_price_characteristics_2014.pdf
• https://www.math.kth.se/matstat/seminarier/reports/M-exjobb12/121105.pdf

 

[UVXY20]

Yes, but when I punch in the Kelly numbers what do I put in for average loss or average number/percentage of losers? Zero?

 

[BlackPhoenix]

Check "Putting the Kelly Criterion to Use": https://www.investopedia.com/articles/trading/04/091504.asp

 

[cesfx]

For conversion and reversal in size you might have borrowing and margin cost to consider.

 

[blueraincap]

If it is really no-risk, then you compare it with other potential positions and size; if that is the only position candidate, it will then take up 100%.

• https://arxiv.org/abs/1903.02228
  
• https://discovery.ucl.ac.uk/id/eprint/10155501/2/AndrewDMannPhDFinal.pdf
  
• https://fenix.tecnico.ulisboa.pt/downloadFile/281870113705363/Thesis.pdf
  
• https://chairegestiondesrisques.hec.ca/wp-content/uploads/2023/07/These_Cedric_Poutre.pdf
  
• https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4315362
• https://www.researchgate.net/public...on_dimensionality_reduction_for_stock_trading