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Charles Wright wrote:
>
> I use TS mostly to test different trading approaches, rather than as a
> mechanical system. I've done studies on the effects of Optimal f on a
> portfolio of futures, and am currently working on a simulation of the
> effects of option hedging on a porfolio of futures.
>
> I've come across a modification of Optimal f that is radically
> smoother than the full blown application, though it is not simply a
> fraction of the fraction. Actually, I am not quite sure how to
> explain it, but it tests very well. Anyone who has read this far
> probably knows that Optimal f, if applied out of the book, will make
> your equity curve look like a rollercoaster on steroids (with
> sincerest apologies to Mr. Ralph Vince).
>
> Simulations are not intended to predict the future or duplicate the
> past, but rather to mark out the shadows of the landscape... a way to
> filter out bad ideas and highlight those that might have potential for
> more detailed study and possible application.
>
> I submit this only to see if there are any out there who are
> interested in this arena either for discussion or who might wish to
> have it done (i.e. contract to have it done).
>
> So I'll wait to see what I hear from you if anything. Happy trades.
>
> CW
>
I agree trading the full optimal f exposes you to 70%+ drawdowns. Typically
it is advised to trade about 80% of the optimal f number. However running
both equity line, you'll find a larger optimal f gives you larger drawdowns,
but your equity line will mostly not go below the one you have with the lower
drawdown. This is the optical factor....
Gwenn
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