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PureBytes Links
Trading Reference Links
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For simplicity and ease of application Try Van Tharp's book "Trade your
way to financial freedom".
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of Ross Kovacs
Sent: Friday, August 10, 2001 4:39 PM
To: Metastock List
Subject: Excellent web book on Money Management
I was doing a metasearch of the web for information on the Kelly Criterion
and stumbled on a web book by Thomas Pflugl:
http://keplerweb.oeh.uni-linz.ac.at/trading/index.html
I seem to recall him making various contributions to this list and others.
He credits this list and others in helping to write the web book (e-book?).
Regardless, a good read and you can't beat the price (free).
Question: does he have the correct formula for the Kelly Criterion in
Chapter 7?
Kelly % = A - [(1-A)/B]
where A = % winners and B = Avg Profit per trade / Avg Loss per trade
Also, any feedback on his writings and other money management writings would
be appreciated.
I already have a couple of Ralph Vince's books. He is tough to read and his
books aren't written in a "here is how to apply it" way.
I put the above formula in an Excel spreadsheet, and it convinced me it was
a good approach (assuming I programmed the spreadsheet correctly ;>). I
used random numbers to generate the trades, and the criterion worked well
(as programmed by me, a dubious undertaking).
Any feedback on spreadsheets that apply the Kelly Criterion would also be
appreciated.
Note for stock traders: this web book uses Currency futures contracts for
its examples.
I don't know if you will be as interested as I am if you trade stocks,
Ross Kovacs
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