The Kelly criterion - is it good...or bad?

[kut2k2]

Hey, new to this forum and am looking for some more info on optimal f. Any recommendations?

http://www.amazon.com/Ralph-Vince/e/B001IODO5U

 

[LuckyTrade]

Hi guys,

How about a simple explanation like this

http://www.dummies.com/how-to/content/the-optimal-f-money-management-style.html

 

[kut2k2]

From what I understand, figuring out optimal-f is a complicated process. Perhaps I've heard wrong.

How do you calculate optimal-f? Thanks.

Optimal f and the Kelly Criterion

Article by Ralph Vince begins on page 21.

Optimal f is even more ridiculous than I believed. How this bullshit gained traction is a mystery to me.

 

[kut2k2]

Hi guys,

How about a simple explanation like this

http://www.dummies.com/how-to/content/the-optimal-f-money-management-style.html

Too simple. That article doesn't actually explain optimal f and ends up saying the same thing they've all said before : "read Ralph Vince's book". Fortunately we can now bypass the book.

I wonder if Ralph Vince paid the For Dummies people for that nice little plug.

 

[Longcat1982]

It's only useful if your strategy has a remotely small chance of losing money. Otherwise, following the Kelly Criteria is just asking to blow up your trading account.

 

[Frederick Foresight]

Optimal f is even more ridiculous than I believed. How this bullshit gained traction is a mystery to me.

On the plus side, it delivers on its promise: use it and be optimally f'd.

 

[kut2k2]

It's only useful if your strategy has a remotely small chance of losing money. Otherwise, following the Kelly Criteria is just asking to blow up your trading account.

Kelly properly done doesn't blow up trading accounts.