Kelly formula for money management

[alichambers]

Hi,

Does anyone have any experience with the Kelly Money Management formula:

http://www.investopedia.com/articles/tr ... 091504.asp

If not, what money management % do you use - esp. with the TRO's $Trillion 10 pip system?

Alex

[Bruno]

Hi Alex,

there are many other MM formulas - fixed fraction, Optimal F, Lead Risk... I have very good experience with software called MARKET SYSTEM ANALYZER:
www.adaptrade.com - you can try 30 days trial - it is for stock and futures, for forex you need to adapt data extra. Directly exits from Tradestation works fine.

Please note that only Kelly formula itself can be extremely dangerous for your account!!! Don´t be to much enthusiastic from the "managed equities" after test in MSA - in real trading it is psychologically very difficult.
You can read some books from Van Tharp.
Have a great trades

Bruno

[peter_77_peter]

...deleted/reedited by myself....

[peter_77_peter]

Hi Alex and Bruno,

just stumbled over your Money Management Discussion....Bruno suggested to read some books by van tharp.....actually I´m just working myself through some literature on this topic......one of it is a 70 Pages report on money management by van tharp, that I will just try to upload as a .pdf ,easy to read and maybe of interest to somebody......the next thing that I will read is a free report of a company that offers a product probably similiar to the one that you´re using. I will link to their report: http://www.tsresearch.com/public/money_ ... nagement1/
...because this report seems like a kind of good excerpt of "the 3 classic books" discussing their core ideas in a nicely technical oriented way providing some interesting definitions, formulas, tables and tradestation code examples.........


Van Tharp
http://www.amazon.de/Trade-Your-Way-Fin ... ks-intl-de

Ryan Jones
http://www.amazon.de/Trading-Game-Ryan- ... ks-intl-de

Ralph Vince
http://www.amazon.com/New-Money-Managem ... F8&s=books


maybe this is of help to anybody,
best regards from spain,
peter

p.s.: could not upload the .pdf because the upload is limited to 256kb and van tharps money management report is 501 kb.

[TheRumpledOne]

Peter:

Put the pdf in the Download section. If you can't, then email it to me and I'll upload it.

[peter_77_peter]

Hi,
I´ve just put the above mentioned .pdf of the van tharp report in the download section, I think this 70 pager is a good starter providing a thoroughful overview on money management:

http://kreslik.com/forums/dload.php?act ... y&cat_id=2

Besides that I recommend the 3 parts report on money management by tsresearch:

http://www.tsresearch.com/public/money_ ... nagement1/
http://www.tsresearch.com/public/money_ ... nagement2/
http://www.tsresearch.com/public/money_ ... nagement3/

Because the guy who has written this seems to have made his homework, providing a thoroughful understanding including definitions, formulas, tables, examples of the classical approaches that can be found in the standard literature mentioned above including

kelly´s method, optimal f, fixed ratio

besides that he is going a little more in to detail / beyond standard literature, i. e. discussing "their updates" including

safe f, optimal f with volatility, method of larry williams.

best regards from spain,
peter

[Bruno]

Hello,

there is also possibility to play around with MM in discretionary way. Van Tharp developed very good example how does it work.

You can play with it. Random trades, only size of position and percent risk possible to change - only for equities.

Download Secrets of the Master´s Trading game:

http://www.iitm.com

I am not Van Tharp spammer...
Bruno