Questions tagged [money-management]

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124 views

How a central bank earns Foreign currency [closed]

Today given the strengthening of USD, many Central banks are trying to lift their domestic currencies by selling their USD holding. My question is how a central bank earns and save USD in their kitty? ...
118 views

Is the formula for the Maximum Adverse Excursion for a Short Selling Trade the (Open - High) / Open, or (High - Open) / Open ?
• 113
261 views

Why not calculate Kelly using semivariance? As w Sortino

Kelly is calculated as mu / sigma^2. If we remove our highest performing returns from our calculations this actually increases our Kelly leverage, which does not make sense to me. A less profitable ...
34 views

Money management for every profitable 3rd trade

What would be the best money management strategy if I know that approximately every 3rd trade is profitable. What is the best MM strategy?
84 views

Optimal withdrawal rate based on alpha and drawdown

My trading returns is about 50% monthly(alpha) and maximum drawdown is about 20%. Is there a mathematical way to define the optimal withdrawal rate X%(say when profit level reach y%) to avoid risk of ...
201 views

What are good machine learning projects for a senior student? [closed]

I'm a senior year student, I study software engineering, I recently started with a machine learning tutorial, I want a machine learning projects that are not hard to make and at the same time good for ...
35 views

lot size formula for cfd and forex based on risk percentage

I have a question regarding the calculation of the lot size for cfd and forex instruments when we have a risk amount as a percentage of the balance. So how to compute the lot size to trade knowing the ...
1 vote
99 views

Difference between Money management / Asset allocation / Portfolio optimisation

maybe an ill-posed question, please advise 🙂 What is the difference between the 3 concepts? They all seem about optimising some risk/reward ratio... money management asset allocation portfolio ...
• 460
1k views

Forget Kelly, forget fractional sizing. Where is the general theory?

I am struggling to find a general theory of position sizing. Help! The literature is all about fractional position sizing, but that's just one of the innumerable strategies. What about all the other ...
• 460
6k 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 ...
• 460
3k 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 ...
• 460
902 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 ...
1 vote
202 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 ...
• 2,143
455 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 ...
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1 vote
550 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 ...
1k 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 ...
• 141
299 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 ...
• 415
337 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
80 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 ...
• 13.5k
175 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: ...
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" ...
• 133