As a simple note, I would be very careful about betting the Kelly size on any trade. Not only will a series of bad trades reduce your equity quite quickly, the intra-trade drawdown will most certainly cause you to abandon the strategy after just a few bad trades.Originally Posted by ernsttanaka
Many individuals, and one I know personally, use about 0.8 * Kelly size to size their positions. The gentleman I know has taken his portfolio down over 50%, and is now in process of rebuilding it back at a pretty good rate because the markets are cooperating. If you can tolerate 50% realized loss, then perhaps this is a good strategy for you.
Before any decisions are made, I would review Van K. Tharp's "Definitive Guide to Position Sizing". Pricey, but one poor trade saved by your learned knowledge from that book could pay for it quite easily.
By the way, the Turtle's method of adding 0.5% position as the equity moves up 0.5%N is quite a solid concept and one that I track with my own trading (paper, I don't trade this method).
Regards,
pgd
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