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Am I sorry that I cannot answer your question - I too am interested in the
answer.
I had just posted a similar one with a f=.35 system, loss 350, a/c size
$20K
Instead of using my $20K account, I thought I would try it out on a $10K
'reserved for optimal f' portion of it for a while.
I have another question for you. I am interested in knowing the system
results that gave you f=.66.
My .35 came from 784 trades on a system with a profit factor of only 1.82,
and a PRR of 1.71. I didnt think this was a particularly good result in
itself, but it came from a very consistent set of results over a wide range
of parameter optimisations.
My nerves are telling me to start looking for systems with low optimal f's,
but I am not sure what their characteristics would be.
Peter
-----Original Message-----
From: Gaius Marius [SMTP:maximus@xxxxxxxxxxx]
Sent: Thursday, September 10, 1998 4:02 AM
To: Omega List
Subject: Optimal F
Need a little help with Optimal F. Can some one explain if I'm doing the
calculations right?
My calculations shows that f is .66.
My largest losing trade is $1657.
My f$ is $2510.61.
With an account size of $20K, the ratio Trunc($20K/$2.5K) is 8. Does this
mean that I should trade 8 contracts on each trade? With margin of $5.4K
per
contract, that requires an account of $43.2 K. But I'm starting with an
account of $20K. How is this possible? Where did I go wrong?
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