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Re: Optimal f code for Tradestation



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> "Optimal" f is only "optimal" because Vince defined "optimal" to be 
> the approach that produces the highest TWR.  It's definitely not the 
> "optimal" place to trade if you value your account.

Yup. Just another name for how _f_ast can you go broke. Like Bob Fulks
said, optimal f runs your risk of ruin up to nearly 100%. Only an idiot
would trade that way. Kinda makes ya wonder about the honesty and
intelligence of an author who would advocate it. Hell, even a compulsive
gambler would be unlikely to accept more than a 50% chance of losing it
all. I guess "get rich quick" sells a lot better than "stay alive slow."
:-) 

I think it's much more constructive to look at the risk side of the
equation. Use whatever method or formula works for you to determine your
risk of ruin trading various sizes (or f's). Decide how much risk of
going broke you can accept and still sleep at night and trade
accordingly. Depending on your system, you might find that cutting your
size (and profits) in half decreases your risk of ruin from nearly 100%
to 10% or 1%. A very good tradeoff IMHO.

-- 
  Dennis