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

Rate of Decrease in "Fixed Ratio" algorithm


  • To: omega-list@xxxxxxxxxx
  • Subject: Rate of Decrease in "Fixed Ratio" algorithm
  • From: Mark Johnson <janitor@xxxxxxxxxxxx>
  • Date: Tue, 17 Jul 2001 05:28:57 -0700
  • In-reply-to: <200107162027.NAA14309@xxxxxxxxxxxxxx>

PureBytes Links

Trading Reference Links

Mark Baze <mark_baze@xxxxxxxxx> mentions difficulty in
programming the Rate of Decrease portion of the Fixed
Ratio approach to betsizing.

Sometimes this is because the programmer doesn't have a
crisp idea of exactly what is wanted.  Maybe it'd be
helpful to construct five or six different example test-cases,
using a different "StartingEquity" and a different
"Delta1" for each.  Then make the effort to build a
table of numbers showing how you want the contracts to
increase (ROI), and another table of numbers showing
how you want the contracts to decrease (ROD).

This exercise will clarify your thinking and will make
precise the question "exactly what do I want this code
to do?"  After you've got that, coding it up into a
programming language will be straightforward.