Hard drawdown stops feel disciplined but force near-cash exposure after losses, destroying Sharpe ratios. Here is what the research says and what works better.
Use the Kelly criterion to size swing trades with win rate, payoff ratio, fractional Kelly, drawdown caps, portfolio budgets, and uncertain edge estimates.
Most traders spend a disproportionate amount of time on entry signals and almost no time on the mathematical structure of how much to risk on each trade. Ralph Vince spent…
Scale swing-trade position size to VIX regime. A Kelly-VIX hybrid framework that cuts drawdowns by adapting bet size to low, normal, and high volatility states.
SPY closed at $558.12 on April 2, 2025. The next day it dropped to $530.62. The day after that, $499.55. Then on April 9 it ripped back to $542.40 in…