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2015 IEEE International Conference on Smart City/SocialCom/SustainCom (SmartCity) (2015)
Chengdu, China
Dec. 19, 2015 to Dec. 21, 2015
ISBN: 978-1-5090-1892-5
pp: 806-810
ABSTRACT
In this paper, we compare the differences between traditional Kelly Criterion and Vince's optimal f through backtesting actual financial transaction data. We apply a momentum trading strategy to the Taiwan Weighted Index Futures, and analyze its profit-and-loss vectors of Kelly Criterion and Vince's optimal f, respectively. Our numerical experiments demonstrate that there is nearly 90% chance that the difference gap between the bet ratio recommended by Kelly criterion and and Vince's optimal f lies within 2%. Therefore, in the actual transaction, the values from Kelly Criterion could be taken directly as the optimal bet ratio for funds control.
INDEX TERMS
Indexes, Urban areas, Electronic mail, Finance, Conferences, Profitability
CITATION

M. Wu, C. Wang, W. Chung, R. Tso and I. Yang, "An Empirical Comparison between Kelly Criterion and Vince's Optimal F," 2015 IEEE International Conference on Smart City/SocialCom/SustainCom (SmartCity)(SMARTCITY), Chengdu, China, 2015, pp. 806-810.
doi:10.1109/SmartCity.2015.166
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