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Re: Optimal f code for Tradestation

To: <metastock@xxxxxxxxxxxxx>
Subject: Re: Optimal f code for Tradestation
From: "Jean-Roland Quastana" <jean-roland.quastana@xxxxxxxxxxxxxx>
Date: Wed, 12 Jul 2000 10:41:09 -0700
In-reply-to: <NBBBKFMIMHJOLMGOIJGNIEBKENAA.grt@xxxxxxxxxxxx>
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<DIV><FONT face=Tahoma>Guy, </FONT></DIV>
<DIV>&nbsp;</DIV>
<DIV><FONT face=Tahoma>According to P.Kaufman, E should be annualized : if your 
34.79% correspond to 6 month result, use 69.58%, that's not the same figure for 
sure... SR should be in your case 111.58.</FONT></DIV>
<DIV>&nbsp;</DIV>
<DIV><FONT face=Tahoma>Concerning the practical use of this ratio, I only choose 
the system with the highest SR, all else being equal... ;-)</FONT></DIV>
<DIV>&nbsp;</DIV>
<DIV><FONT face=Tahoma>Jean-Roland</FONT></DIV>
<BLOCKQUOTE 
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
  <DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
  <DIV 
  style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B> 
  Guy Tann </DIV>
  <DIV style="FONT: 10pt arial"><B>To:</B> <A 
  href="mailto:metastock@xxxxxxxxxxxxx"; 
  title=metastock@xxxxxxxxxxxxx>metastock@xxxxxxxxxxxxx</A> </DIV>
  <DIV style="FONT: 10pt arial"><B>Sent:</B> Tuesday, July 11, 2000 4:40 
AM</DIV>
  <DIV style="FONT: 10pt arial"><B>Subject:</B> RE: Optimal f code for 
  Tradestation</DIV>
  <DIV><BR></DIV>
  <DIV class=Section1>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Jean-Roland,<o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]>&nbsp;<![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Many 
  thanks.<SPAN style="mso-spacerun: yes">&nbsp; </SPAN>Now all I have to do is 
  try to figure out how to apply it. </SPAN></FONT></SPAN><SPAN 
  class=EmailStyle17><FONT color=navy face=Wingdings size=2><SPAN 
  style="FONT-FAMILY: Wingdings; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt; mso-ascii-font-family: Arial; mso-hansi-font-family: Arial; mso-char-type: symbol; mso-symbol-font-family: Wingdings"><SPAN 
  style="mso-char-type: symbol; mso-symbol-font-family: Wingdings">J</SPAN></SPAN></FONT></SPAN><SPAN 
  class=EmailStyle17><FONT color=navy face=Arial size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]>&nbsp;<![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">We 
  have no expected return in our trading system, let alone a standard deviation 
  of the returns.<SPAN style="mso-spacerun: yes">&nbsp; </SPAN>I guess I could 
  fudge our numbers and give it a try using our actual average (net) 
  return.<o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]>&nbsp;<![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Since 
  last October, we have twenty (real, live) trades to work with.<SPAN 
  style="mso-spacerun: yes">&nbsp; </SPAN>Our average return is $1,631 or 
  34.79%.<SPAN style="mso-spacerun: yes">&nbsp; </SPAN>The standard deviation is 
  .5788 (according to my trusty Excel spreadsheet).<SPAN 
  style="mso-spacerun: yes">&nbsp; </SPAN>Assuming a risk free interest rate of 
  5%, let&#8217;s see what we calculate.<o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]>&nbsp;<![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">SR = 
  (34.79-5.00)/.5788<o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">SR = 
  51.469<o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]>&nbsp;<![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Does 
  this make sense?<SPAN style="mso-spacerun: yes">&nbsp; 
  </SPAN><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]>&nbsp;<![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt">Now 
  that I have the Sharpe Ratio, I better go back and reread John&#8217;s posts to 
  discover what to do next.<o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal><SPAN class=EmailStyle17><FONT color=navy face=Arial 
  size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]>&nbsp;<![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoAutoSig><!--[if supportFields]><span class=EmailStyle17><font 
size=2 color=navy face=Arial><span style='font-size:10.0pt;mso-bidi-font-size:
12.0pt;font-family:Arial'><span style='mso-element:field-begin'></span><span 
style="mso-spacerun: yes">&nbsp;</span>AUTOTEXTLIST \s &quot;E-mail 
Signature&quot; <span style='mso-element:field-separator'></span></span></font></span><![endif]--><FONT 
  color=navy><SPAN style="COLOR: navy">Guy</SPAN></FONT><FONT color=navy><SPAN 
  style="COLOR: navy; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoAutoSig><FONT color=navy face="Times New Roman" size=3><SPAN 
  style="COLOR: navy; FONT-SIZE: 12pt"><![if !supportEmptyParas]>&nbsp;<![endif]></SPAN></FONT><FONT 
  color=navy><SPAN 
  style="COLOR: navy; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoAutoSig><FONT color=navy face="Times New Roman" size=3><SPAN 
  style="COLOR: navy; FONT-SIZE: 12pt">Paranoia...you only have to be right once 
  to make it all worthwhile!</SPAN></FONT><FONT color=navy><SPAN 
  style="COLOR: navy; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal><!--[if supportFields]><span class=EmailStyle17><font 
size=2 color=navy face=Arial><span style='font-size:10.0pt;mso-bidi-font-size:
12.0pt;font-family:Arial'><span style='mso-element:field-end'></span></span></font></span><![endif]--><SPAN 
  class=EmailStyle17><FONT color=navy face=Arial size=2><SPAN 
  style="FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-bidi-font-size: 12.0pt"><![if !supportEmptyParas]>&nbsp;<![endif]><o:p></o:p></SPAN></FONT></SPAN></P>
  <P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma 
  size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 10pt">-----Original 
  Message-----<BR><B><SPAN style="FONT-WEIGHT: bold">From:</SPAN></B> 
  owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]<B><SPAN 
  style="FONT-WEIGHT: bold">On Behalf Of </SPAN></B>Jean-Roland 
  Quastana<BR><B><SPAN style="FONT-WEIGHT: bold">Sent:</SPAN></B> Monday, July 
  10, 2000 3:00 PM<BR><B><SPAN style="FONT-WEIGHT: bold">To:</SPAN></B> 
  metastock@xxxxxxxxxxxxx<BR><B><SPAN 
  style="FONT-WEIGHT: bold">Subject:</SPAN></B> Re: Optimal f code for 
  Tradestation</SPAN></FONT></P>
  <P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT face="Times New Roman" 
  size=3><SPAN style="FONT-SIZE: 12pt"><![if !supportEmptyParas]>&nbsp;<![endif]><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma 
  size=3><SPAN style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 12pt">Sharpe 
  Ratio : SR = (E-I)/s</SPAN></FONT><FONT color=black><SPAN 
  style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black 
  face="Times New Roman" size=3><SPAN 
  style="COLOR: black; FONT-SIZE: 12pt">&nbsp;</SPAN></FONT><FONT 
  color=black><SPAN 
  style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma 
  size=3><SPAN style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 12pt">where 
  E is expected return, I is risk-free interest rate and s is standard deviation 
  of the returns.</SPAN></FONT><FONT color=black><SPAN 
  style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black 
  face="Times New Roman" size=3><SPAN 
  style="COLOR: black; FONT-SIZE: 12pt">&nbsp;</SPAN></FONT><FONT 
  color=black><SPAN 
  style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma 
  size=3><SPAN style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 12pt">Hope 
  this help...</SPAN></FONT><FONT color=black><SPAN 
  style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black 
  face="Times New Roman" size=3><SPAN 
  style="COLOR: black; FONT-SIZE: 12pt">&nbsp;</SPAN></FONT><FONT 
  color=black><SPAN 
  style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal style="MARGIN-LEFT: 0.5in"><FONT color=black face=Tahoma 
  size=3><SPAN 
  style="COLOR: black; FONT-FAMILY: Tahoma; FONT-SIZE: 12pt">Jean-Roland</SPAN></FONT><FONT 
  color=black><SPAN 
  style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <DIV 
  style="BORDER-BOTTOM: medium none; BORDER-LEFT: black 1.5pt solid; BORDER-RIGHT: medium none; BORDER-TOP: medium none; PADDING-BOTTOM: 0in; PADDING-LEFT: 4pt; PADDING-RIGHT: 0in; PADDING-TOP: 0in">
  <P class=MsoNormal 
  style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><FONT 
  color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt">----- Original 
  Message ----- </SPAN></FONT><FONT color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal 
  style="BACKGROUND: #e4e4e4; BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><B><FONT 
  color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; FONT-WEIGHT: bold">
  <DIV style="font-color: black">From:</SPAN></FONT></B><FONT color=black 
  face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> <A 
  href="mailto:grt@xxxxxxxxxxxx"; title=grt@xxxxxxxxxxxx>Guy Tann</A> 
  </SPAN></FONT></DIV><FONT color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT>
  <P></P>
  <P class=MsoNormal 
  style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><B><FONT 
  color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; FONT-WEIGHT: bold">To:</SPAN></FONT></B><FONT 
  color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> <A 
  href="mailto:metastock@xxxxxxxxxxxxx"; 
  title=metastock@xxxxxxxxxxxxx>metastock@xxxxxxxxxxxxx</A> </SPAN></FONT><FONT 
  color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal 
  style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><B><FONT 
  color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; FONT-WEIGHT: bold">Sent:</SPAN></FONT></B><FONT 
  color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> Monday, July 10, 
  2000 8:45 PM</SPAN></FONT><FONT color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal 
  style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><B><FONT 
  color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; FONT-WEIGHT: bold">Subject:</SPAN></FONT></B><FONT 
  color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt"> RE: Optimal f code 
  for Tradestation</SPAN></FONT><FONT color=black face=Arial size=2><SPAN 
  style="COLOR: black; FONT-FAMILY: Arial; FONT-SIZE: 10pt; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal 
  style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><FONT 
  color=black face="Times New Roman" size=3><SPAN 
  style="COLOR: black; FONT-SIZE: 12pt"><![if !supportEmptyParas]>&nbsp;<![endif]></SPAN></FONT><FONT 
  color=black><SPAN 
  style="COLOR: black; mso-color-alt: windowtext"><o:p></o:p></SPAN></FONT></P>
  <P class=MsoNormal 
  style="BORDER-BOTTOM: medium none; BORDER-LEFT: medium none; BORDER-RIGHT: medium none; BORDER-TOP: medium none; MARGIN-BOTTOM: 12pt; MARGIN-LEFT: 39.75pt; PADDING-BOTTOM: 0in; PADDING-LEFT: 0in; PADDING-RIGHT: 0in; PADDING-TOP: 0in; mso-margin-top-alt: auto; mso-border-left-alt: solid black 1.5pt; mso-padding-alt: 0in 0in 0in 4.0pt"><FONT 
  color=black face="Times New Roman" size=3><SPAN 
  style="COLOR: black; FONT-SIZE: 12pt">John,<BR><BR>Could you ask him the 
  formula for the Sharpe Ratio.<BR><BR>Thanks,<BR><BR>Guy<BR><BR>Paranoia...you 
  only have to be right once to make it all worthwhile!<BR 
  style="mso-special-character: line-break"><![if !supportLineBreakNewLine]><BR 
  style="mso-special-character: line-break"><![endif]></SPAN></FONT><FONT 
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</x-html>From ???@??? Wed Jul 12 11:12:18 2000
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Date: Wed, 12 Jul 2000 13:06:52 EDT
Subject: Re: Risk of ruin, amount per trade formula?
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Status:   

In my opinion, that's OK if your portfolio is diversified. If you trade 
always the same futures you should aim somewhat higher.  Don't forget 
slippage and not calculated a a fixed amount but in proportion of the 
contract value (and/or of the volatility).

System vendors have no money under management.

Jean Jacques
References:
- RE: Optimal f code for Tradestation
  - From: Guy Tann
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