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Questions tagged [money-management]

The tag has no usage guidance.

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66 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 ...
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0answers
32 views

How do you apply a Negative Kelly as a signal to Short Selling?

According to Edward Thorpe a positive Kelly indicates the percentage you should invest in a stock. A negative indicates the percentage you should go short on a stock. But how to do it, is not that ...
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90 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 ...
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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 ...
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2answers
133 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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3answers
108 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
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1answer
727 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 ...
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0answers
179 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 ...
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0answers
266 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 ...
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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 ...
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1answer
156 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: ...
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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" ...
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3answers
964 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 ...