How can Kelly (a simple percentage) be higher than total equity?
Scaling in: martingale vs incrementally, which is best?
- Thread starter KCalhoun
- Start date
How can Kelly (a simple percentage) be higher than total equity?
Average returns and square of the std dev of returns can be used to derive scaling factor. Volatility needs to be a factor. It is unrealistic to do this manually every time you decide to scale in.
I am not sure inverse will make an ideal hedge. Why are you not considering option to hedge.
If you are in and out fast it is hard to work a hedge. Someone like Destriero may have a better guideline without infringing on their edge. I am not sure this thread has gotten his attention.
I am not sure inverse will make an ideal hedge. Why are you not considering option to hedge.
If you are in and out fast it is hard to work a hedge. Someone like Destriero may have a better guideline without infringing on their edge. I am not sure this thread has gotten his attention.
Martingale so much funner
You are right, Kelly is typically a fraction of your total capital (perhaps 5-10%?). If you scaled in so that your total bet in this one trade is > 5-10% you exceeded your Kelly.
Maybe I don't understand Kelly. If so correct me please.