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Optimal Leverage in Day Trading

Christian Lundström

The Journal of Trading2018https://doi.org/10.3905/jot.2018.13.2.057article
ABDC C
Weight
0.41

What the paper says

Day traders are likely to use leverage to increase their profits. This article systematically analyzes the effect of leverage on profit when using a popular day-trading strategy and clarifies the relation to two optimal leverage strategies proposed for maximizing trading profit: the Kelly criterion and the optimal fraction criterion. The author’s empirical analysis shows how leverage can increase the profit in day trading. <b>TOPICS:</b>Statistical methods, performance measurement

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https://doi.org/https://doi.org/10.3905/jot.2018.13.2.057

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@article{christian2018,
  title        = {{Optimal Leverage in Day Trading}},
  author       = {Christian Lundström},
  journal      = {The Journal of Trading},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.3905/jot.2018.13.2.057},
}

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Optimal Leverage in Day Trading

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.