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If I remember correcly, the optimal f is an estimate of what fraction of
your money you should risk on each trade. Perhaps Vince couold add some
clarification that would make it easier to use.
Many of these kind of ideas are derived from gambling, where the gambler
makes repeated tries with a known probability of win or loss. With the
security market the odds on each trade are not known in advance, it is only
after a number of trades that anyone can make an estimate of their win loss
ratio.
Try reviewing your last 50 or 100 trades and you may be able to estimate
your odds, and so estimate what fraction of your money you should risk on
each trade.
Lionel
----- Original Message -----
From: Walter Lake <wlake@xxxxxxxxx>
To: Metastock bulletin board <metastock@xxxxxxxxxxxxx>
Sent: Friday, July 02, 1999 12:34 PM
Subject: Optimal f
> Hi Glen
>
> I respect Rick's opinion's ... but you might want to check out what
William
> Gallacher has to say about Optimal f in "Winner Take All" to see what a
> non-enthusiast is saying.
>
> Page 194:
>
> "... While I do not question Vince's mathematical integrity, I seriously
> question whether anything he proposes is remotely applicable in the real
> world. ..."
>
> after 5 pages of additional analysis he sums up with:
>
> "... Conclusion: Optimal f = phoney optimization."
>
> Personally, I don't know what to think. I sounds good on paper but I
don't
> know how to make it work with actual data. Maybe you could help me out.
>
> Best regards
>
> Walter
>
>
>
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