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
![](https://resources.faireconomy.media/images/emojis/64/1f609.png?v=15.1)
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