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Andreas:
Although they are neither cheap nor easy to read, Ralph Vince's "Portfolio
Management Formulas" and "The Mathematics of Money Management" are easily
the most valuable books I own (a special thanks to Rick Mortellra for
emphasizing their importance).
They opened up a whole new world of risk management and money management
for me.
Good luck.
----- Original Message -----
From: Andreas Grau <agrau@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: July 1, 1999 13:28
Subject: AW: Formula for Optimal f needed
> Rudi
>
> > >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?
>
> <Quote On>
>
> Optimal F is a money management concept introduced
> by Ralph Vince in two books, Portfolio Management
> Formulas: Mathematical Trading Methods for the
> Futures, Options, and Stock Markets (Wiley, 1989) and
> The Mathematics of Money Management: Risk Analysis
> Techniques for Traders (Wiley, 1992).
>
> <Quote Off>
>
> I found this explanation somewhere on the web. Optimal f seems to
calculate
> optimal position sizes based on previous results from your trading system.
>
> > >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.
>
> It's a library to access metastock data from within VBA. You find the MSFL
> on the Equis-Site (you have to dig deep - it took me several minutes to
> find it)
>
>
> Andreas
>
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