Questions tagged [money-management]
The money-management tag has no usage guidance.
7
votes
4answers
259 views
Why does Kelly maximise $E[\log\space G]$ rather than simply $E[G]$?
Given $G=\frac {C_n} {C_0}$, with $C_0$ the initial capital and $C_n$ the final capital after $n$ trades,
the Kelly criterion derives the optimal fraction of capital to invest in each trade, by ...
3
votes
2answers
144 views
Kelly criterion for normally distributed returns
If the returns of my strategy are distributed like 𝒩[μ,σ], what is the optimal fraction of capital to invest in each single trade, as a function μ and σ? Help!
PS. I know that normally distributed ...
-1
votes
2answers
97 views
Position Sizing Algorithm for Multi Asset Portfolio
I'm currently working on a position sizing algorithm for my trading system. By combining fixed ratio money management and setting the stop loss based on the current ATR value I receive reasonable ...
0
votes
0answers
148 views
Stop loss strategy using options
I normally trade stocks using Robinhood, and use a simple stop loss strategy for 2:1 P/L trades. I recently got invited to use their options via their phone app, and was interested in trading some ...
1
vote
0answers
171 views
What are the latest developments on “Value Averaging”?
If you search with Google "Value Averaging", you're swamped with dozens of web pages which explain how it works, why lump-sum investing is better and why not, template Excel sheets and so forth.
So I ...
-1
votes
2answers
140 views
Am I calculating my Kelly Criterion correctly?
I'm taking a look at my trading history over a particular time period and have 500 trades on with an win rate of 82%. My average win is $W$. My average loss is $L$. So am I correct in assuming the ...
1
vote
3answers
112 views
Suppose i want to track S&P500 index using 15 stocks, how do i adjust their weights?
I am given 15 stocks (which is listed in NYSE), and want to track/replicate the S&P500 index. So i am currently have the information about the stock price, and given some capital to invest in (all ...
3
votes
1answer
749 views
How trading in currency pair works, underlying techniques and mechanisms
I am somewhat experienced in Forex trading, but I have a question which has bothered me for quite some time.
If we for instance go back in time four months, to before the beginning of value loss the ...
2
votes
0answers
183 views
Game theory and antagonistic games in trading
In one of the topic here, particularly in the comments, i saw a link to the page describing connection between Antagonistic Games and finances but i cannot find it now and would appreciate if somebody ...
3
votes
0answers
268 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 ...
1
vote
0answers
70 views
Performance of 1X0/X0 funds vs. traditional benchmarks?
Some years ago there was a proliferation of new products touting the ability of active managers to take short bets on securities: 130/30 funds, 150/50 funds, and the like.
What is the empirical ...
9
votes
1answer
158 views
How should you manage lot sizes in this situation?
Imagine that prior to entering the market you know beforehand the profit factor of similar situations.
For example:
...
-1
votes
1answer
2k views
Please Explain the Debt to China [closed]
Can someone please explain to me how we are in debt with China? Every weblog, article, journal I read have people in the comments going insane about how we "owe China monies" and "China owns the US" ...
11
votes
3answers
980 views
Alternate money management strategies to Kelly?
Other than Kelly (or fractional derivatives), are there other money management strategies in wide use among quant funds? Certainly Kelly is mathematically optimal, but perhaps there are other ...
