gbarber Member  Posts: 28 Joined: 2/26/2018 Location: PEARLAND, TX  User Profile | Thanks Barry. Yes I am trying some method allocation changes. There are various available. but I have not found documentation that describes what they do. I need to know that to make my experimentation meaningful. Where can I find that documentation? It is not obvious from reading the name of the allocation. For example when I look up Kelly criteria on the web it gives me the following: There are two basic components to the Kelly Criterion. The first is the win probability, or the probability that any given trade will return a positive amount. The second is the win/loss ratio. This ratio is the total positive trade amounts divided by the total negative trade amounts. These two factors are then put into Kelly's equation which is: K% = W - (1-W)/R where: K%=The Kelly percentage W=Winning probability R=Win/loss ratio But when selecting Kelly criteria in portsim it asks for the following: initial amount, multiplier and warmup trades. That has no recognizable relation to what the web says about Kelly criteria. So how do I know what those are and how they are used in our specific portsim? I need the documentation that describes those allocation methods. | |
