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More optimal_f and fixed fractional


  • To: omega-list@xxxxxxxxxx
  • Subject: More optimal_f and fixed fractional
  • From: Dennis Holverstott <dennis@xxxxxxxxxx>
  • Date: Sun, 11 Jun 2000 10:41:32 -0700
  • In-reply-to: <000e01bfd305$bd83ec60$3201a8c0@xxxxxx>

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Trading Reference Links

Here's a more extreme version of the example Chuck LeBeau presented in
his traderclub bulletin. Let's flip a coin 10 times with 5 winners and 5
losers. You either win or lose the amount you bet. Should break even,
right? Not if you use the fixed fractional method. We'll start with $100
and bet 25% (similar to optimal_f for some systems) of our account on
each flip.

Bet	Trade	Balance
	start	$100.00 
$25.00 	lose	$75.00 
$18.75 	lose	$56.25 
$14.06 	lose	$42.19 
$10.55 	lose	$31.64 
$7.91 	lose	$23.73 
$5.93 	win	$29.66 
$7.42 	win	$37.08 
$9.27 	win	$46.35 
$11.59 	win	$57.94 
$14.48 	win	$72.42 

Bet	Trade	Balance
	start	$100.00 
$25.00 	win	$125.00 
$31.25 	win	$156.25 
$39.06 	win	$195.31 
$48.83 	win	$244.14 
$61.04 	win	$305.18 
$76.29 	lose	$228.88 
$57.22 	lose	$171.66 
$42.92 	lose	$128.75 
$32.19 	lose	$96.56 
$24.14 	lose	$72.42 

Bet	Trade	Balance
	start	$100.00 
$25.00 	win	$125.00 
$31.25 	lose	$93.75 
$23.44 	win	$117.19 
$29.30 	lose	$87.89 
$21.97 	win	$109.86 
$27.47 	lose	$82.40 
$20.60 	win	$103.00 
$25.75 	lose	$77.25 
$19.31 	win	$96.56 
$24.14 	lose	$72.42 

Our money management turned a breakeven system into a loser.

-- 
  Dennis