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All of the posts recently about optimal f have reinforced what I have heard
in the past:
1. Ralph Vince's research and books that describe optimal f and other money
management concepts, are technically sound, powerful, and valuable
foundation work.
2. Implementing optimal f is gut-wrenching for most (98% would be my guess)
traders to implement.
In light of these two observations, I think it is wise to learn and
understand Ralph's work, but to also be aware of others' work in this area
that may also contain sound principles but be easier for traders to
implement.
Among these other works that may be worthy of your investigation and
understanding are:
1. Ryan Jones' Fixed Ratio ideas
2. Rina Systems' Secure f variant (See July98 TASC)
3. Sunny Harris' Ultimate f variant
I hope this might be helpful to someone on the list.
Neil
| -----Original Message-----
| From: Peter Ryan [mailto:pryan@xxxxxxxxxxxxxx]
| Sent: Thursday, September 10, 1998 6:09 AM
| To: 'Gaius Marius'
| Cc: Omega-List (E-mail)
| Subject: Optimal F - looking for high or low value ??
|
|
| I follow your reasoning about the higher the f, the higher
| the number of
| contracts traded.
|
| Which gets me back to - shouldn't we be looking for systems
| with a low
| optimal f.
|
| Am I correct in thinking that if optimal f is .10, then when
| the largest
| losing trade is encountered 10% of the stake is gone, and if
| optimal f is
| .2, then when the largest losing trade is encountered, 20%
| of the stake is
| gone.
|
| Peter
|
| <<<<
| Number of contracts= Account size/ f$
| f$=Max loss/f
| So, Number of contracts= Account size/ (max loss/ f) or
| Number of contracts =(account size*f)/(max loss)
| so the higher the f, the bigger the number of contracts.
|
|