Kelly position sizing with a fixed stop-loss; dangers of tight stop-loss

The main conclusion of the previous article was that a strategy with a position size distributed proportionally to the Kelly Criterion was found to be more attractive than the strategy were potential stop-loss would be distributed according to Kelly. A way to implement such a better strategy was understood to consist in fixing the stop-loss distance while having the position size proportional to Kelly allocation. For that, one would need to optimize the stop-loss distance. Here comes the promised development, improving the histogramming technique used to judge the "attractiveness" of a strategy, and elaborating on the choice of the stop-loss.

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