Pre-Registered Empirical Paper on Conformal Kelly Position Sizing Released
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Researcher Robert Jacob Ryan has released version 3 of a pre-registered empirical study on Conformal Kelly portfolio position sizing on arXiv. The paper proposes using the half-width of conformal prediction intervals as a scaling factor for fractional Kelly position sizing with leverage caps, tested under a pre-registered protocol. Version 3 only adjusts the title to match the conference version, with core content identical to v2. During the development phase, an autonomous LLM agent searched approximately 200 configurations on a 2016-2021 sample of 8 U.S. stock ETFs. Subsequent 2022-2024 validation data was sealed before the search, and the final configuration, 9 comparison portfolios, and conclusion mapping were all registered before data unsealing. In the sealed 2022-2024 validation window, the method achieved an actual coverage rate of 0.745, close to the preset target of 0.750, meeting the marginal coverage requirement.
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- arXiv q-finConformal Kelly: Why Economic Performance Fails to Materialize When Marginal Coverage Targets Are Met
The paper proposes using the half-width of conformal prediction intervals as a scaling measure for fractional Kelly position sizing with a leverage cap, and tests this rule under a pre-registered protocol. During the development phase, an autonomous LLM agent searched approximately 200 configurations on a 2016-2021 sample of 8 U.S. equity ETFs, with subsequent data sealed before the search, and the final configuration, 9 comparison portfolios, and conclusion mapping all registered before unsealing.
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