Shortly after my post on Kelly maximization I received a number of emails from traders who are developing systems but are, understandably so in my opinion, a bit confused about which performance criterion or criteria to use when evaluating them. I understand why those traders are confused, or to be more exact, what or who has confused them and why.
GET UPDATES BY EMAIL
Thank you for subscribing.
Something went wrong.
CFTC RULE 4.41
© 2011 – 2019 Michael Harris. All Rights Reserved. We grant a revocable permission to create a hyperlink to this blog subject to certain Terms and Conditions. Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this blog is strictly prohibited without prior written permission.