Code
position sizing with kelly criterion - python implementation
·850 words
rebuilt my position sizing engine last weekend.
kelly criterion with practical modifications.
the problem # old approach:
fixed 2% risk per trade.
adaptive position sizing - regime-based approach
·1261 words
position sizing makes or breaks algo trading.
been refining adaptive approach last 6 months.
finally working consistently.
the problem with static sizing # most algo traders: