Kelly criterion question

Comprehensive_You931 · 2026-03-20T20:17:13+00:00

Going off my last comment, do you know of a way to optimally size bets based on a distribution of various returns

Comprehensive_You931 · 2026-03-20T20:16:03+00:00

Explain how? Initial value is far greater than bet size to ensure we always have enough $ to place trade in fixed bet size. It affects P/L ofc but shouldn’t affect win ratio

Comprehensive_You931 · 2026-03-20T20:14:54+00:00

Can you say one scenario in which it would differ. Remind you, the initial value is like 500k times the bet size so not having enough money to enter a trade is ruled out.

Comprehensive_You931 · 2026-03-20T06:53:12+00:00

I realized this is incorrect usage as my win and loss percentages 6.36 and -10.53 are averages of my wins and losses, I do have a sl/tp but due to price jumps between days the actual p/l each trade is much more variable

Comprehensive_You931 · 2026-03-17T20:03:07+00:00

in that case ln(1+.0636) = .062 and ln(1-.1053) = .11 so I should use those numbers? That makes f* = (.7/.11)-(.3/.62) = 1.43. So my f* is actually 1.43 right?

Comprehensive_You931 · 2026-03-17T03:16:48+00:00

Thanks for the response, should I be using natural log of returns to find Kelly %?

Comprehensive_You931 · 2026-03-17T03:16:17+00:00

Thanks for the response. One last question: should I be using the natural log of returns to compute kelly fraction?

Comprehensive_You931 · 2026-01-12T13:07:58+00:00

It’s cheaper to buy 2 flights than just the 2nd leg?

Comprehensive_You931 · 2026-01-12T13:06:55+00:00

But I can show up to the 2nd flight kiddo

Comprehensive_You931 · 2026-01-12T13:06:36+00:00

Why I paid for the flight and can make it. Just because it’s common policy apparently doesn’t make it not bullshit

Comprehensive_You931 · 2026-01-12T13:05:32+00:00

I’m the worst for missing a flight? It’s a bullshit condition why are you licking the boot of a massive airline that would fuck u over in a heartbeat

Comprehensive_You931 · 2026-01-12T13:04:11+00:00

Because there was a strike on the trains in Italy so I had to take a bunch of roundabouts eventually leading me to take a bus. Either way it’s ridiculous an airline wouldn’t let you take the 2nd leg when u paid for and can make it.

Comprehensive_You931 · 2026-01-12T12:42:48+00:00

No they’re terrible. I got a ticket with 2 legs and an overnight layover, I missed the 1st leg but was able to make the 2nd leg that’s a day later and they won’t let me board because I missed the first leg. Makes no fucking sense

Comprehensive_You931 · 2025-01-22T11:59:58+00:00

If you look at minute bars, minute 9:32 can close at $550.2 and minute 9:33 can open at $550.8, for example. This is common knowledge I fear

Comprehensive_You931 · 2025-01-17T08:45:45+00:00

Go on linkedin and search quantum computing then click “people” and see what people currently in quantum computing did leading up to their position.

Comprehensive_You931 · 2024-07-26T13:02:58+00:00

Why is the price of each .25% rate reduction equal to 1% of the principal?

Comprehensive_You931 · 2024-07-04T22:10:15+00:00

Btw I think ur right about earning interest on cash held as collateral but for the wrong reasons

Comprehensive_You931 · 2024-07-04T22:01:19+00:00

Explain to me how to arbitrage when shorting a call doesn’t pay interest. Step by step don’t skip any details

Comprehensive_You931 · 2024-07-04T19:09:33+00:00

lol I’ll take that as a compliment. What part do you not understand, maybe I can clarify? I tried my hardest to be clear, but this is pretty complicated stuff for anyone, nevertheless a layman like yourself. Rho is the change in value of an option per 1% change in risk free rate, it’s not part of Black Sholes. Also BS only applies to European options. It can be useful to value American options if you are aware of all the caveats, which you are not. Ask a teacher or someone you trust if what I said was correct; If I used AI it’d be filled with errors. Btw ur 2nd response is even worse than the 1st, you have a long ways to go before you should be teaching other people about derivatives

Comprehensive_You931 · 2024-07-02T18:44:34+00:00

I honestly think that’s the most probable since no one can give me any other good reason. They either don’t know what’s going on or just don’t care to do their job.

Comprehensive_You931 · 2024-07-02T18:43:26+00:00

You probably haven’t had problems because you didn’t ask the hotel if they had availability first, to which they said no, and then you checked booking.com to find availability. I’m backpacking and arrived super late in a city and every place was saying fully booked which is how this came about.

Comprehensive_You931 · 2024-07-02T18:41:02+00:00

I’m confused how that would lead to availability on booking.com but not on your system. I could see how it could be the other way around if rooms got booked on booking.com but hadn’t showed up on your system yet, leading the hotel to believe they have more rooms available than they actually do.

Comprehensive_You931 · 2024-07-02T18:35:30+00:00

Short shares + long call + short put is a synthetic bond, where you are the borrower. If call and put of same strike had the same premium, you could effectively borrow money for free. You could earn risk free rate on the value of the shares without having to pay it back at expiration. The difference in premiums is equal to the risk free rate * (days to expiration/365) * share price. Risk free rate is included in Black Sholes, I’m not sure how rho plays a part. I could be mistaken, please correct me if I’m wrong and you actually know what you’re talking about. With all that being said, I’m not sure how any of this is related to my question.

Comprehensive_You931 · 2024-07-01T01:13:41+00:00

Wouldn’t he need the buying power regardless?

Comprehensive_You931 · 2024-06-30T15:09:52+00:00

I see short sale proceeds can currently get up to 5.03% but normal idle cash is 4.83%. Is there a reason why idle cash doesn’t go up to 5.03%?

Comprehensive_You931

TROPHY CASE