012: Ernest Chan talks quantitative trading, momentum, stop losses, minimising drawdown and maximising returns, automated trading and competing with the big firms
Better System Trader
00:00
How to Maximize Compounded Growth
If you find that your distribution of return is really outside the rhyme of normal, you would not use the conventional a formula for the cally ar average. So if you do find that your trading sagy has returns that are very non gausin a you might have to go to first principles and derive for yourself what the maximum optimal average is. But yes, you ane o, you maximis the grov of that small part of money that you're at risk. And i guess if youare using the kelly ratio for that 20 % trading component, the likelihood that you would actually lose the entire 20 % would be quite low? That that's right.
Transcript
Play full episode
