Author Ralph Vince Nov 1990 Link | Portfolio Management Formulas Mathematical Trading Methods For The Futures Options And Stock Markets

Fixed fraction is geometric. If you lose 50% of your account, you need to make 100% to get back to even. That is the "geometric drag."

: Determining the exact number of contracts or shares to trade for a given system. Fixed fraction is geometric

or lose your exact bet), . A single futures contract can result in a small win, a massive win, a small loss, or a catastrophic maximum loss that exceeds the initial margin. Enter Optimal or lose your exact bet),

Most traders read this and faint. And they should—because unless your system has perfect Gaussian statistics (it doesn't), full Kelly is a road to ruin via estimation error. Vince knew this. The book discusses fractional Kelly (e.g., half-f or quarter-f) for survival. And they should—because unless your system has perfect

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