Why not just use a simple definition like this? 'wins losses' =. (>&0 </. ]) returns
On Thu, Jul 12, 2018 at 8:38 AM, Raul Miller <[email protected]> wrote: > Maybe something like this (can be simplified, but I am on a phone, so > that’s painful): > > M=: +/ % # > > (M@:>:&0([ - -.@[ % (%|)/@\:~@(M/.~) @])])2 _1 > > 0.25 > > > Thanks, > > > — > > Raul > > On Thursday, July 12, 2018, Devon McCormick <[email protected]> wrote: > > > Working with an article on implementing the Kelly Criterion in Python ( > > http://quantfiction.com/2018/05/06/position-sizing-for- > > practitioners-part-1-beyond-kelly/ > > ), I first, lazily, translated some Python code like this: > > kellyFraction=: 3 : 0 > > returns=. y > > losses=. }.losses [ 'losses wins'=. (0,returns>0) </. 0,returns > > R=. ((+/%#) wins) % |(+/%#) losses [ W=. (#wins) % #returns > > W-(1-W)%R > > ) > > kellyFraction 2 _1 > > 0.25 > > > > Reworking the code to be more J-like, I came up with this version: > > kellyFraction=: 3 : 0 > > 'losses wins'=. }.&.>(0 1,y>0) </. 0 0,y > > ((#wins) % #y) ([-] %~ [: -.[) ((+/%#) wins) % |(+/%#) losses > > ) > > > > The partitioning of losses and wins seems a bit awkward. Part of the > > awkwardness is the prepending I do (0 1,... and 0 0,...) to force the > > losses and wins to be in the expected order. However, it also seems that > > there may be some way to apply the dyadic, tacit expression on the last > > line using "key" (/.) directly but I don't see how. > > > > Am I expecting too much here? > > > > -- > > > > Devon McCormick, CFA > > > > Quantitative Consultant > > ---------------------------------------------------------------------- > > For information about J forums see http://www.jsoftware.com/forums.htm > ---------------------------------------------------------------------- > For information about J forums see http://www.jsoftware.com/forums.htm > -- Vijay Lulla Assistant Professor, Dept. of Geography, IUPUI 425 University Blvd, CA-207C. Indianapolis, IN-46202 [email protected] ORCID: https://orcid.org/0000-0002-0823-2522 Webpage: http://vijaylulla.com ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
