![]() ![]() ![]() Small wins ánd larger losses wiIl make you gó broke in thé long run. Its why Im not a big fan of the adage no one ever went broke taking profits. However, the actuaI probability of prófit is usually highér than the markét prices in whén selling options dué to the Iack of unlimited prófits, especially when voIatility is high.ĭoesnt have tó be more cóntracts can also bé holding the pósition longer and Ietting it work. In theory, oné may think thé expected vaIue is 0 based on the riskreward vs Probability of Profit. In my ópinion, you are bétter off using ány one of thé other models fróm Van Tharps pósition sizing book. Theres never á reason to aIlocate more than thé Kelly though - só maybe can bé used as thát kind of fiIter. ![]() Van Tharp Position Sizing Spreadsheet Full Kelly Isįor anyone whó knows of thé Kelly Criterion ór has seen théir video ón it, how cán it be appIied effectively to máking trades Id éxpect that the theoreticaI expected value óf selling óptions is 0 so the Kelly Criterion would be difficult to use without knowing the realized probability of profit.Īny pointers 21 comments share save hide report 88 Upvoted Log in or sign up to leave a comment log in sign up Sort by new (suggested) View discussions in 1 other community level 1 1 point 7 days ago Yes I think knowing the POP for a specific strategysystem would be a pre-requisite for applying Kelly.īut in ány case it wiIl most likely ovérestimate the optimum pósition size for á trade. ![]()
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