Why not just use a simple definition like this?

'wins losses' =. (>&0 </. ]) returns


On Thu, Jul 12, 2018 at 8:38 AM, Raul Miller <rauldmil...@gmail.com> 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 <devon...@gmail.com> 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
vlu...@iupui.edu
ORCID: https://orcid.org/0000-0002-0823-2522
Webpage: http://vijaylulla.com
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