--- In
equismetastock@xxxxxxxxxxxxxxx, Ticiano Rêgo <ticianorego@xxx> wrote:
>
> Super,
>
> Do you think Optimal F is not a good a good money management rule ?
>
> I´m using tradesim with a 70% win ratio and the results using Optimal F are
> phenomenal.
>
> I noticed that if I use other values the drawdown is the same averaging 27%.
> Only the finishing capital increases using Optimal F.
>
> Kind Regards,
>
>
> Ticiano
> 2009/3/30 superfragalist <
no_reply@xxxxxxxxxxxxxxx>
>
> > You can't test your betting strategy in MS. You will have to use other
> > testing software.
> >
> > You are trying to use a martingale strategy. If you don't know what that is
> > look it up. Martingale is a losing strategy unless two things are present.
> > The odds of a winning bet have to be greater than 50% and the gambler has to
> > have infinite wealth. The exponential growth of the bet size across
> > consecutive losses cause a maximum adverse excursion that will bankrupt
> > anyone without an infinite size capital account, even with a 50% win/loss
> > ratio.
> >
> > I've written about this in Roy's newsletters. Maybe you can get a copy.
> > It's cheaper than the wallet whipping you're going to take using a
> > martingale system.
> >
> > But if you insist, you can get an idea of how expensive martingale systems
> > are by running a few back tests using TradeSim. Take the maximum number of
> > losses in a row, compound up the bets across the series and that will give
> > you MAE. It will also give you the final bet size before a win.
> >
> > That's where the infinite part comes in. Traders don't have infinite size
> > capital accounts. Most systems will generate one or more sets of consecutive
> > losses that will completely deplete the capital account. If you still don't
> > believe it will happen to you, run a monte carlo simulation focused on sets
> > of losses and see how many times strings occur that cause bankruptcy.
> >
> > If you like that kind of betting, then you can apply Optimal f trade size
> > to your system. At least that has a chance of paying off. And you'll get
> > just as many emotional thrills from optimal f as you would from a pure
> > martingale system, and if you have the brass to stick it out, you'll
> > eventually win before you go broke.
> >
> > Rather than spend your time reinventing a wheel that has already been
> > tested many, many times, you might consider reading a Ralph Vince and get a
> > basic education in the mathematics of trade sizing and why some systems fail
> > and others work regardless of the back test results.
> >
> > Super
> >
> >