My, €4.1k to €227k in 2 years, journal.

its about time people in this country are recognised for achievement, and not for being v-jazzalled by sum numb-nuts.
 
andy-murray-wins-us-open-mens.jpg


(y)(y)(y)
 
so how is your account looking at the moment benj1981? I hope your doing well and getting some of the USD weakness
 
H.R.J said:
so how is your account looking at the moment benj1981? I hope your doing well and getting some of the USD weakness
Click to expand...

Hi HRJ, not a lot of movement since my last update, in a trade - shall update when out.

GTTY.
 
BBPI_FXTrader said:
Benji, don't remember exactly, how much do you risk per trade ?
Click to expand...

Welcome back. You don't remember, because i didn't say...and i'd rather not say the % risked, as it would give the wrong idea to newbies. However, my position sizing is derived using an algorithm for the optimal bet size of the particular concept i'm trading. Therefore, it's very high compared to the numbers you hear bandied about on trading forums.
 
Last edited:
Benj1981 said:
Welcome back. You don't remember, because i didn't say...and i'd rather not say the % risked, as it would give the wrong idea to newbies. However, my position sizing is derived using an algorithm for the optimal bet size of the particular concept i'm trading. Therefore, it's very high compared to the numbers you hear bandied about on trading forums.
Click to expand...

Do you understand the algorithm and are confident that it accurately applies to trading? Or is this just some Kelly Criterion?
 
Shakone said:
Do you understand the algorithm and are confident that it accurately applies to trading? Or is this just some Kelly Criterion?
Click to expand...

Shakone, please say why Kelly doesn't apply to trading? And try not to trot out Ralph Vince passages verbatim as well.
 
There are a few reasons i use a derivation of Kelly, compared to other optimal growth algorithms:


  • Simplicity in trading is rewarded.
  • Optimal f "assumes" your worst drawdown is behind you.
  • Having extensive backtest results (30 years+) allows one to draw upon the necessary numbers to estimate Kelly.

The thing to recognise, is that no money management technique is perfect, however most are looking for perfection in trading, which is why they'll be chasing their tails forever.
 
Benj1981 said:
Welcome back. You don't remember, because i didn't say...and i'd rather not say the % risked, as it would give the wrong idea to newbies. However, my position sizing is derived using an algorithm for the optimal bet size of the particular concept i'm trading. Therefore, it's very high compared to the numbers you hear bandied about on trading forums.
Click to expand...

So what you're saying is that you could easily blow your account if you had a bit of 'bad luck'? Anyway, I thought you were a newbie?
 
Benj1981 said:
Shakone, please say why Kelly doesn't apply to trading? And try not to trot out Ralph Vince passages verbatim as well.
Click to expand...

I haven't read Ralph Vince, is he good? I only know the math.

If you are applying a theory, and any of the assumptions do not hold, then it doesn't technically apply. It may still work reasonably well, that depends.

Kelly typically assumes:
-I can bet any size amount, large or small freely
-That you are playing the same game
-That the win probability is known and fixed
-That the risk:reward ratio is known and fixed

Well the first doesn't apply, there are minimum stakes and for large stakes margin requirements may cause issues or the size may affect the results, the third doesn't apply either, and you could reasonably argue against the second and fourth.

So with perhaps none of its assumptions holding, does it really apply to trading?

If it works for you, no problem. Just be aware is all I'm saying.
 
R.Charnock said:
So what you're saying is that you could easily blow your account if you had a bit of 'bad luck'? Anyway, I thought you were a newbie?
Click to expand...

Not at all dear boy, but i respect there's always a chance you could lose everything, as should you, whatever % you risk. At my risk level for the concept i'm trading in this journal, deep drawdowns are entirely plausible, and more than expected.

The mantras of; "never bet more than 2% per trade otherwise you'll blow up", is simply nonsense. The amount to risk depends on the robustness of your concept, and the size of it's edge. The only way i know how to gauge both of these is through extensive backtesting. The last "small" caveat is; you also have to be able to handle the trade size and equity swings mentally.
 
Benj1981 said:
Not at all dear boy, but i respect there's always a chance you could lose everything, as should you, whatever % you risk. At my risk level for the concept i'm trading in this journal, deep drawdowns are entirely plausible, and more than expected.

The mantras of; "never bet more than 2% per trade otherwise you'll blow up", is simply nonsense. The amount to risk depends on the robustness of your concept, and the size of it's edge. The only way i know how to gauge both of these is through extensive backtesting. The last "small" caveat is; you also have to be able to handle the trade size and equity swings mentally.
Click to expand...

Well I think you're mixing up two different ideas. One idea is about maximising growth, and the other idea is about eliminating risk of ruin. The 2% or less refers to trying to eliminate the risk of ruin.
 
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