IntradayBill, It;s a "Leverage Factor," not a "fraction." The two are only the same value under certain circumstances (which rarely occur in...
kut2k2, Kelly and Optimal f are different indeed, and Kelly does NOT yield the optimal fraction. If you think .80 as a result of the Kelly...
goodgoing, Kelly is not a %. Using it as such will REALLY get someone into trouble, It's not the same thing as the Optimal f. Let's suppose...
The largest loss is only important so as to bound your answer (for optimal f, a fraction between 0 and 1, unlike the kelly Criterion answer, which...
My apologies.
A superhero? I don't need to be. My apologies if I sound antagonistic. Forgive me.
I'mBatman, My guess is everyone who is giving you advice here still has losing trades. I don't. You can decide for yourself who to listen...
I'mbatman, You need to first discern what you are doing any of this for. To arbitrarily pick a percentage is to flounder -- it defaults to...
dtrader: You wouldnt happen to havea link to the Chapman paper, would you?
Yes, I see. Very interesting. Thanks.
Yes, this is a problem we are all wrestling with. Everyone pretty much agrees that thr ground is really moving under our feet -- things are...
It really is not an alternative per se. My point is, you are IN leverage space, somewhere, unavoidably, whether acknowledged by you or not. You...
An interesting wikipedia article -- but it is not what I am doing here. My point is I am using the LSP model in a manner not to maximize profits,...
Its simple -- but I won't get too specific as I don't owe anyone any more than that. However, my criteria has been to maximize being profitable,...
Exactly -- they do NOT know what they want. Not just on the downside (Is it variance? Is it drawwdown? What is it?) but on the upside as well...
[[What about using the Spearman Rank correlation? - Looks like providing a bit less information, but worth considering...]] Yes, that was my...
Indeedy -- the past is never the entire sample space, and I am not claiming that it is. However, my point that the joint probability matrix...
I KNOW that a matrix of probabilties of cross scenarios has less information loss than the simple, single metric of correlation -- particularly in...
Correlation is a good metric for measuring, say, how well two data sets track, and their respective lead/lag, or for autocorrelation of an...
As an aside, these very institutions that employed mean variance allocation models, were also, generally, employing VAR as a misk metric....
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