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Spreadsheet for optimalf from Futures Mangazine attached.
----- Original Message -----
From: rudolf stricker <rst@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Thursday, July 01, 1999 1:21 PM
Subject: Re: Formula for Optimal f needed
>
> Andreas,
>
> On Wed, 30 Jun 1999 19:06:19 +0200, you wrote:
>
> >I am looking for the algorithm for calculating
> >Optimal f in Excel. So if somebody could help
> >me with either the formula or even the Excel-code
>
> Are you looking for a special indicator "f"? Or are you talking about
> general optimization setup in Excel?
>
> Because of several boring restriction in metaStock, I have moved a
> small ROC-based "general purpose system" from Metastock to Excel,
> including the trading model and the parameter optimization components.
> Works quite well for options.
>
> At this time, I'm working on refined optimization criteria, that
> include ##wins/losses, win/loss ratio, in/out ratio, and profit (win
> minus losses). The additional criteria stream the results to my liking
> and "fold" the manifold trading opportunities to more explicit optima
> in terms of results. (No way to do such things in MetaStock.)
>
> What I'm looking for, is how to construct an appropriate money
> management procedure. At this time, I do all my optimization runs with
> a constant investment (no uncontrolled, implicitly weighted
> re-investment like in MetaStock), but I would like to include some
> kind of "risk-based" MM. Any idea or hint?
>
> >I just bought the
> >Metastock file library and I'm looking for some
> >clues on how do it best - round and angular wheels
> >have already been invented, I would rather not invent
> >them again.
>
> Is this an Excel library of MetaStock indicators? Where did you get
> it? - And let me know, if you have special questions on e.g. model
> setup, optimization, etc in Excel.
>
> mfg rudolf stricker
> | Disclaimer: The views of this user are strictly his own.
Attachment Converted: "c:\eudora\attach\optimalf.zip"
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