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Dejan:
That seems like a good common sense solution to me. I don't add a full unit each
time my trading earns that full maximum drawdown, but I do add a portion of
one...I think it would probably work out to adding 2 for every 3 earned. And, as
the unit gets larger, the ratio would decline, because skid increases and
because I do take out an income afterall.
Best,
Tim Morge
Dejan Corovic wrote:
>
> 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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