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I found this formula, and it looked logical and nice. So I did calculate it
for a number of backtested systems, and then found problems...
The formula does not care at all about how long time the trade takes. Making
1000$ in trades averaging 5 days should be more worth than making 1000$ in
trades averaging 100 days. Is it just to exchange winperwinning trade and so
on in the Kelly formula for return on account for winning trades? Or is
there another formula that does something similar to Kelly but also taking
number of days for the trades into account? (The Sharpe formula is something
else, I am trying to get that into my system tests as well).
--- Mats ---
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