The position-sizing tag has no wiki summary.
1
vote
2answers
307 views
Position management and market-making techniques
Suppose, there is a HF strategy (agent) that is based on order book microstructure, and it is able to make good executions locally. More formally, in average its execution price is better than asset ...
14
votes
2answers
793 views
From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
I have read about something like Kelly criterion for long term expectation maximization assuming a fixed starting bankroll. But if one can assume unlimited leverage, and one has a signal for a price ...
2
votes
0answers
117 views
Optimal Position Size with Transaction Costs given Forecast Mean and StDev
I have rather a challenging question. I'm hoping that someone can share their experience. I will build up the problem in steps.
Let's start our thinking with the idea of a buy and hold strategy of ...
0
votes
0answers
48 views
Modelling the magnitude of negative interest rates as depending on the deposited volume
The discounting curves are generally inferred from zero coupon bonds, especially for short rates, where such zero coupon bonds exist. Given the recent governmental negative interest rate bonds, this ...
8
votes
4answers
365 views
Position management in presence of continuous forecast
Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...
8
votes
1answer
795 views
How to apply the Kelly criterion when expected return may be negative?
My concern is how to handle a negative value for the Kelly formula. Even when you have a system that has positive expectancy, you can (and usually will) sustain a number of losses, sometimes ...
9
votes
3answers
820 views
How to optimally allocate capital among trading strategies?
I'm trying to find an optimal way to allocate capital among trading strategies.
"Quantitative Trading" by Ernie Chan claims on page 97 that the optimal fraction of capital to allocate to a given ...
6
votes
3answers
512 views
What position-sizing methods are used in futures trading?
Beyond optimal / partial f and a few other older methods, there's very little information out there for futures trading.
3
votes
3answers
379 views
If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
Lets say that I have an imaginary model that always gives me a 10% edge over straight 50/50 odds, one day in advance, for an index (i.e. 60% chance of winning / 40% chance of losing).
How would I ...
