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Actually, a wealth maximizer wants a system with the highest TWR, not f. Not the same thing. Higher f does not necessarily mean highest TWR. Depends on win /loss ratio, payoff, etc.
Scott Hoffman
>Assuming you are a profit maximiser, then you want the system with the
highest f. Consider if you had the perfect system, it would have an f
of 1.0 - ie you would bet all your wealth on each trade as it would be
always be a winner.
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