Timeline for Can a Kelly Criterion Percent be very high?
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 21, 2017 at 1:44 | comment | added | spaceisdarkgreen | @Shamoon I understood it to be an average (and you're right that a more correct way would be to do it for a specific strategy). The point I was making was that when you have a range of outcomes (not binary) the kelly criterion would generalize to maximizing the expected log of your wealth under this distribution. If there is a sizable negative tail to the distribution you might find this is much less than what your method gives, even if there's sizable upside tail as well. Nonetheless, even under ideal circumstances, many people find it a bit aggressive, as noob2 said in the comments. | |
| Sep 21, 2017 at 1:31 | comment | added | Shamoon | Well - the 299 and 1181 are actually the averages of my trades over a few months. So it's not the LAST trade, but an average. Even if I calculate on a SPECIFIC spread, the Kelly percent is like 15%, which seems high. Normally, I trade with 2-5% of my account size, so it's a bit shocking to see Kelly suggest something so high. | |
| Sep 20, 2017 at 18:15 | history | edited | spaceisdarkgreen | CC BY-SA 3.0 |
deleted 222 characters in body
|
| Sep 20, 2017 at 16:38 | history | edited | spaceisdarkgreen | CC BY-SA 3.0 |
added 221 characters in body
|
| Sep 20, 2017 at 16:31 | history | answered | spaceisdarkgreen | CC BY-SA 3.0 |