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Posts Made By:
Big Mike
Forum:
Psychology and Money Management
January 17th, 2021, 02:00 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Recently, SMCJB made the below post in a...
Recently, SMCJB made the below post in a different thread:
https://nexusfi.com/elite-quantitative-trading/35002-lets-talk-statistics-9.html#post828062
Here is the full post:
I really...
Forum:
Psychology and Money Management
August 19th, 2014, 03:49 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Ernie Chan had a good blog on this recently ...
Ernie Chan had a good blog on this recently
Quantitative Trading: Kelly vs. Markowitz Portfolio Optimization (http://epchan.blogspot.com/2014/08/kelly-vs-markowitz-portfolio.html)
He will be...
Forum:
Psychology and Money Management
November 9th, 2013, 11:26 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Posted in the thread. Use the attachments link...
Posted in the thread. Use the attachments link on top right of thread to find it if you don't want to read the posts.
Mike
Forum:
Psychology and Money Management
January 29th, 2013, 04:37 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
I'd like to also make sure you've seen the...
I'd like to also make sure you've seen the webinar:
Webinar: Ernest Chan - Capital Allocation and Risk Management...
Forum:
Psychology and Money Management
September 19th, 2012, 08:51 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
A few months off, but Ernie Chan will be doing a...
A few months off, but Ernie Chan will be doing a webinar on nexusfi.com (formerly BMT) in January that focuses on Capital Allocation and Risk management using Kelly:
...
Forum:
Psychology and Money Management
April 12th, 2012, 07:36 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Thanks Harry. Yes, you were right to assume I...
Thanks Harry. Yes, you were right to assume I was describing a system that trades the same period of time.
I appreciate your answer.
Mike
Forum:
Psychology and Money Management
April 12th, 2012, 06:08 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
OK. Let me ask you this -- Which is...
OK.
Let me ask you this --
Which is preferred:
- System with 2,000 trades, and net expectancy after commission and slippage of $5 per trade.
- System with 200 trades, and net expectancy...
Forum:
Psychology and Money Management
April 12th, 2012, 05:59 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Fat Tails, if you modify the win/loss figures to...
Fat Tails, if you modify the win/loss figures to include commission and slippage, wouldn't it be easier?
Just using net profit or net win/loss vs gross.
Mike
Forum:
Psychology and Money Management
March 31st, 2012, 01:08 AM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Thanks guys. Could we get an updated...
Thanks guys.
Could we get an updated spreadsheet?
Mike
Forum:
Psychology and Money Management
March 10th, 2012, 06:36 AM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Fat Tails (and others), why is Kelly the best or...
Fat Tails (and others), why is Kelly the best or recommended method for this type of calculation? Is that based on popularity, or is there a mathematical reason to use Kelly over something (?) else?...
Forum:
Psychology and Money Management
March 9th, 2012, 07:02 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
So building on Fat Tails post #44, I am hoping...
So building on Fat Tails post #44, I am hoping that Excel master vvhg can get this into a spreadsheet format for us?
Mike
Forum:
Psychology and Money Management
March 9th, 2012, 07:01 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Thank you! I was actually able to follow your...
Thank you! I was actually able to follow your entire post and understand it :)
Mike
Forum:
Psychology and Money Management
March 8th, 2012, 01:45 AM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Please help me understand where the bet size is...
Please help me understand where the bet size is determined in this example. Can you list an actual trade example (ie: entry, stop, target measured in terms of % risk or Kelly bet size)?
Thanks so...
Forum:
Psychology and Money Management
January 8th, 2012, 01:34 AM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
I feel like monte carlo is similar, but have been...
I feel like monte carlo is similar, but have been told by math guys it is not.
Mike
Forum:
Psychology and Money Management
December 1st, 2011, 08:03 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Yes, please share. It is at least a starting...
Yes, please share. It is at least a starting point. Then we just need some more math guys to comment and help out.
Mike
Forum:
Psychology and Money Management
December 1st, 2011, 08:02 PM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
I think there are a few interpretations floating...
I think there are a few interpretations floating around.
Here are some more links after a google search:
Risk Calculator (http://www.wisertrader.com/newsletter_sub/calc_risk.php)
Risk of...
Forum:
Psychology and Money Management
November 30th, 2011, 01:51 AM
Replies:
147
Sticky:
Risk of Ruin
Views:
96,970
Posted By
Big Mike
Risk of Ruin
I'd like to start a discussion on Risk of Ruin. The general concept of a Risk of Ruin analysis is to determine if you will go bust over a statistical number of trades. For example you may have a...
Showing results 1 to 17 of 17
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