My Current Investments

Main Labels:

3) AUDSGD (Link for AUD posts)
4) CNYSGD Closed TP 0.208 ( Link for CNYSGD posts)
5) Fullerton SGD Heritage Income Class B ( Link )
6) Global X Uranium ETF Long ( Link )
8) BGF China Bond Fund A6 Hedged (SGD) (Link)
7) US Stock Trade (Link)

Disclaimer :
None of the information contained in this Blog or Video constitutes an offer (or solicitation of an offer) to buy or sell any currency, product or financial instrument, to make any investments, or to participate in any particular trading strategy.

Any expression of opinion (which may be subject to change without notice) is personal to the author and the author makes no guarantee of any sort regarding the accuracy or completeness of any information or analysis supplied.

The author is not responsible for any loss arising from any investment based on any perceived recommendation, forecast, or any other information contained here.

Next Market Crash Stocks Accumulate LIst

Next Market Crash Stocks Accumulate LIst

Intrinsive Value Tracking

Sunday, March 11, 2012

Kelly Formula In Trading


Kelly % = W – [(1 – W) / R]

Where:
W = Winning probability
R = Win/loss ratio

The output is the Kelly percentage, which we examine below.

Putting It to Use
Kelly's system can be put to use by following these simple steps:
Access your last 50-60 trades. You can do this by simply asking your broker, or by checking your recent tax returns (if you claimed all your trades). If you are a more advanced trader with a developed trading system, then you can simply back test the system and take those results. The Kelly Criterion assumes, however, that you trade the same way you traded in the past.
Calculate "W", the winning probability. To do this, divide the number of trades that returned a positive amount by your total number of trades (positive and negative). This number is better as it gets closer to one. Any number above 0.50 is good.
Calculate "R," the win/loss ratio. Do this by dividing the average gain of the positive trades by the average loss of the negative trades. You should have a number greater than 1 if your average gains are greater than your average losses. A result less than one is managable as long as the number of losing trades remains small.
Input these numbers into Kelly's equation: K% = W – [(1 – W) / R].
Record the Kelly % that the equation returns.
Free CD Reveals How to Successf


Read more: http://www.investopedia.com/articles/trading/04/091504.asp#ixzz1omxshZkv

No comments: