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M
Mit Patel
@mmpatel
SPY
Position sizing is everything, trades can fail fast, and without strict size and predefined risk, a single false move can do outsized damage or wipe out days of gains. How do you size your trades? $Shares=\text{int}[min(\frac{A\,*\,0.01}{R},\,\frac{4\,*\,A}{P})]$
Dec 31, 2025 · 06:22 PM · 79 views
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@macro
Macro Trader
@macro · Dec 31, 2025 · 06:49 PM
Trader
SPY
Starting with Kelly and adjust with vol & corr with the portfolio. Pretty discretionary yet, but looking to systematized it.
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@quantguild
Roman Paolucci Mod Trader FOUNDER
@quantguild · Dec 31, 2025 · 06:27 PM
Trader FOUNDER
SPY
Lots of literature on the subject I also consider my relative edge on a trade by trade basis and the notion of whether the sizing is for or against ergodicity as if we don’t size our bets properly in a non ergodic environment we’re subject to accumulation of losses even with positive edge! I like half Kelley as a starting point but a lot of work has been done in this space, also can you define the remaining variables in your latex equation?
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