[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

FW: OPTIMAL-F/SECURE-F IMPLEMENTATIONS



PureBytes Links

Trading Reference Links



For some unknown reason I forgot to give a subject line - DOH!

(DONT ASK QUESTIONS IN THE MIDDLE OF THE NIGHT - BAD IDEA...)

also don't drink and trade.... :)

as this was clipped from my notes, its not in a clear question;

DOES ANYONE HAVE EXPERIENCE USING OIPTIMAL-F IN REAL TIME TRADING?

PLEASE SHARE WITH ME ANY INSIGHTS.

Now that's pretty clear.


-----Original Message-----
From: Edmond Sorel [mailto:annats@xxxxxxxxxxxxx]
Sent: Saturday, March 20, 1999 11:17 PM
To: Omega List
Subject:


This is my rough sketch - if you have experience with running optimal f in
real time please share with me some of your insight...

2) set up spread sheet to calculate actual optmal f in excel
3) set up spreadsheet to calculate actual maximum adverse excursion in excel
4) model then insert real returns for the period detrmined by model:

MODEL

	- truncate the data to the most recent 5 - 15 trades (to be determined for
statistical significance)
	- calculate benchmark f (using secure f protocol) in moneymanager 1.5 to
test model effectivenes

INSERT REAL RETURNS

	- then insert actual fills to calculate true f  w/ maiximum adverse
excursion rules in excel
	- trade forward from that point with a reality f value using secure f
protocol and maximum adverse excursion values 	generated in excel updated
from actual fills

4) Import modified equity streams to portana for portfolio diversification
model in ascii format