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Hi,
I've been following the 'optimal f' discussion with a great interest, since
one can
only find appriciation for the work of Mr Ralp Vince.
On other hand, since I had trouble in understanding of the nuancies of the
real life
application of the 'optimal f' I had come with a very simple scheme:
One needs to find out what is the drawdown for his particular trading
system, based
on the one contract traded. Than each time during the trading, when one
contract earns
that drawdown, he adds another contract to the pyramid.
Because systems usually, have lossers and winners in a succession, one
refinement to
the above system would be to withdrow temporarily one contract after each
losser and
reinstall it after the first winner.
Although very conservative, this system has shown itself as a very
productive and it
contains a solid business sense, i.e. when the first lot of money earns its
keep, next
lot is added. With all the respect to the 'optimal f' system there is no gut
wrenching.
Regards
Dejan
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