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Re: Fixed Ratio or Fixed Fractional??



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Mark makes some good points about this topic.

I just picked up Larry Williams' book "Long Term Secrets of Short-Term
Trading" and his chapter on Money Management is a must read.  A lot has been
written about Larry's use of MM in his big equity run-ups (and run-downs).
This chapter gives an insight into what happened when he used the Kelly
formula for position sizing.  Kelly was developed for gambling and has its
problems when applied to trading.  Also during this time Larry was monitored
by Ralph Vince and it is inferred that optimal-f came from this association.

Anyway, anyone interested in MM should read this chapter.  I haven't fully
digested its contents, but I believe it gives valuable insight into the
process.

Marlowe

----- Original Message -----
From: Mark Johnson <janitor@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, February 29, 2000 2:41 PM
Subject: Fixed Ratio or Fixed Fractional??


> Why limit yourself to a binary choice
> between just two alternatives?  You can dream
> up LOTS and LOTS of other position sizing
> algorithms; why assume they are inferior
> to FR and/or FF?
>
****Lots snipped*****

> --
>    Mark Johnson      Silicon Valley, California    mark@xxxxxxxxxxxx
>
>       "... The world will little note, nor long remember, what we
>        say here..."  -- Abraham Lincoln, "The Gettysburg Address"
>