Hi Mikkom

,

Very good point! I'm sure I don't have to say that but I'll always emphasize it - volatility measurement and its later application is critical for systematic trading. I'm even tempted to say that systems that don't take vol into account are useless long-term. The amount of effort put into research of it at my workplace seems to confirm my standpoint

What about treating vol directly as a measure of risk (or the inverse of it) ? Possibly as a scaling factor for what Kelly formula produces? Possibly relative vol ??? Nice area for research. Anyway - Euan Sinclair - "Volatility Trading" is all you need (and much more). There's an entire chapter on how to make risk and vol live a long and happy life together. There's a place for Kelly in it as well.

As a matter of interest - could you share you thoughts on the volatility estimation / prediction methods you use? This is so crucial that I'm always happy to know other points of view.

Regards,

Ipso

,

DislikedI would like to discuss a bit about trade risk sizing.

As most people probably know, one method of calculating "optimal" risk is kelly but kelly does not take volatility into consideration at all.Ignored

DislikedDoes anyone know is there any kelly like formula that would take volatility of the profit curve into consideration (= sharpe etc.)?Ignored

As a matter of interest - could you share you thoughts on the volatility estimation / prediction methods you use? This is so crucial that I'm always happy to know other points of view.

Regards,

Ipso