This strategy works well for stocks though you must know what you are buying and also diversify a little.
The intuition is simple. Imagine an ant that is moving with a speed of 2 meters per minute. If the ant is moving towards one direction...
Using the simple way I described above, after a quick calculation and assuming I haven’t done a calc mistake :) Volatility using daily...
No, I guess I didn’t explain in detail what I meant. In a normal behaving asset if you calculate volatilities using daily and weekly or...
One simple method to test for trendiness is the variance ratios. For example if the adjusted volatility on an hourly sampled basis turns out to be...
I really cannot understand what you are trying to say. I just show you above that from the formula in the Kelly paper g(f) = q log(1+f) +...
The two formulas are exactly the same. Page 2 of Kelly’s paper (the gambler with a private wire)… q Probability of correct...
The theory behind the Kelly approach is one. Same inputs will result the same output. The question ‘which system is better’ will be...
Yes I imply that in this example Kelly=90% so 1/10th Kelly is 9%. The fraction of Kelly you are going to use depends on many factors. First is how...
:) This was an answer to If you don't like the static framework there are papers on the net for a Bayesian dynamic updating of the Kelly...
Hello I would like to add some comments to the above… The formula is not simple at all. Only if you assume a Bernoulli distribution for...
No, this is a common misunderstanding but it is wrong. You can apply the Kelly criterion no matter what the distribution of returns. You can apply...
:) No need for consulting services. It’s all there by Ed Thorp himself. http://money-management.martinsewell.com/Thor97.htm All you...
:) nononsense, this is the experience of one of the Kelly criterion users ... Quote from Ed Thorp How does the Kelly-optimal approach do in...
The question as posted here is not the same as the Monty Hall Dillema. In that problem it made sense to switch because that way you had a...
And a spreadsheet ...
[img] '************************************************************ ' standard normal random variate...
Yes, the example is for one open position because otherwise I had to make a long heavy on math post to explain the idea. For example for opening...
Regards
I use amibroker for some days now and it’s very fast compared to other software. I use the End of day version so I can’t comment on...
Separate names with a comma.