Recently I tried to apply a proper money management with a Multi-Entry System, say, maximum entry times is five. Kelly Criterion is great for that so far. What I am wondering is, how much percentage for each position is set in WLD? For example, Kelly Criterion shows 30% this time. Since I can not predict how many entries this time, how much does WLD trade, 30% or 6% for each entry? Thanks
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30%, but the
PosSizer allows to set a fraction of that number.
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Sorry, but I don't understand what Kelly fraction(%) is used for? Could you please explain it? Thanks.
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To quote the Wiki online help page:
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Since the Kelly method is known to be risky, there are two additional safeguards: option to specify a Kelly fraction (percentage) to use, and to cap the maximum size at a certain percentage.
Kelly is usually quite risky, so taking a fraction of that number and/or capping the size from above allows to decrease this risk.
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Here is my understanding for the Kelly fraction after your explaination.
If Kelly criterion is 30% and Kelly fraction is 20%, for multi-entry system, no matter how many entries, each position is 6%; for sigle-entry system, its position is 6% as well.
Please let me know if it is right.
Thanks for your help.
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Sounds right.
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