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Webinar: Ernest Chan on Capital Allocation and Risk Management (Kelly)
It is my pleasure to announce that Ernest Chan from QTS Capital Management LLC will be here on Wednesday, January 23rd @ 4:30 PM Eastern US. Yes, yes, I know the date is far off - scheduling is sometimes difficult.
The webinar will focus on Capital Allocation and Risk Management using the Kelly Formula.
The outline of the presentation includes:
- The 3 facets of Kelly formula
- Kelly formula for a single strategy
- The unintuitive consequence of Kelly formula
- How good is Kelly for real markets?
- Capital Allocation using Kelly
- Alternatives to Kelly leverage
More info on Ernie Chan:
Ernie is the Managing Member of QTS Capital Management, LLC., a commodity pool operator. Ernie has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. He received his Ph.D. in physics from Cornell University and was a member of IBM's Human Language Technologies group before joining the financial industry. He was a co-founder and principal of EXP Capital Management, LLC., a Chicago-based investment firm.
He is also the author of "Quantitative Trading: How to Build Your Own Algorithmic Trading Business" published by John Wiley & Sons in 2008.
This is an excellent topic for a webinar. I use Kelly in all of my accounts, and even if someone chooses not to use Kelly for bet sizing, it would still benefit any trader who speaks of "edge," but who does not know how to calculate his or her edge, to learn to do so. After all, nearly every trading forum participant speaks of edge at some time or another, but I would wager that less than 1% could tell you how to calculate one's edge, and fewer would be able to tell you, mathematically, what his or her edge is.
And let's face it, if you don't know how to calculate an edge, you will not be able to know if you truly have one or not!
On another forum, a thread where a new trader stated his intention of running a small stake to 100K in a year caught my eye. I was inspired, so to speak, to dust off one of my IB subaccounts that has about $2K in it (just enough to keep it open and maintain its margin permissions) and apply full Kelly to it to see how much I could run it up in a year. I was going to start a journal there to track my progress publically. Unfortunately, before I could even get the journal going, I attracted a couple of rather unpleasant stalkers who take offense at what I guess you could call my "Gambler's Mentality." Needless to say, they quickly cured me of any desire to journal the account over there.
However, given your sponsorship of a webinar on the topic of Kelly bet-sizing, Mike, perhaps futures.io (formerly BMT) would be open to such a journal. This would not be a "this is how I trade" type of journal so much as it would be a "this is how I bet and grow my bankroll" journal.
Would you be ammenable to such an exercise being tracked here in the elite journal section? I just started last week, and I am only two trades (as of tonight) into it, so if you wouldn't object to such a journal, I'd rather start it before I got too many weeks into it.
