# Tag Info

4

Here is a collection of papers. The general idea is that the market has investor classes that share different expectations. When in bubble territory, many investors generally agree that assets are overpriced, but they still invest in expectation of more investors entering the market (the greater fools). There are also sophisticated investors who know assets ...

2

Position here is the residual amount of one or other currency at the end: You gave us: Time | Amount | Rate | t1 100 1.2636 t2 -1000 1.2599 t3 200 1.1612 Assuming the Amount is amount paid in USD, and the rate is EUR/USD: Time | Amount | Rate | EUR balance | USD balance t0 0 0 t1 ...

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The way to do gradual position entry and exit is to use multiple trend following rules, each of which is responsible for managing a part of the available capital. Only if all the trading rules agree will 100% of the capital be deployed. As a simple example, suppose you have three rules. The first rule is based on 10 day momentum; this rule produces a score ...

1

What are you saying is not completely correct. What kelly criterion maximizes is the average growth of the capital invested. In fact, if I want to invest a fraction $f$ of my 1000 units the amount that I will have after $M$ trades will be $1000\Pi_{i=1}^{M} (1+f\phi_i)$ What we need to maximize is expected long-term growth rate. Growth rate is given by ...

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