Re: optimal f values

["David L. Miller" <dlmiller@xxxxxxxxxxxxx>]

Peter,

Your quote of Vince's statement that, "...the lower the optimal f, the
better the system" takes me by suprise.

I have read all three of Vince's books and do not recall him making such
a statement.  As a matter of fact, on page 42 of his latest book, The
New Money Management, he states, "One quickly realizes that the better a
trading approach appears when traded on a one-unit basis, the higher the
optimal f is".  This statement appears to directly contradict the
statement which you had quoted.

Would you do me the favor of citing the book and page number containing
the statement you were referencing?  It's quite obviously a passage I
need to go back to and re-read.

Thanks.

Dave


> Subject: 
>         Re: optimal f values
>   Date: 
>         Fri, 11 Sep 1998 14:52:04 +0800
>   From: 
>         HeyPeter <heypeter@xxxxxxxxxxxxxx>
>     To: 
>         omegalist <omega-list@xxxxxxxxxx>
> 
> 
> Oops . . took my own advice and read Vince's books again.
> I was incorrect in stating the higher the f the better the system. 
> Someone was correct in stating that TWR was what you wanted to maximise
> ie geometric mean.  To quote Vince:
> 
> "The higher the geometric mean at the optimal f, the better the system. 
> Also, the lower the optimal f , the better the system."
> 
> 
> Apologies
> 
> Peter