RE: Rate of Decrease in "Fixed Ratio" algorithm

[Mark Baze <mark_baze@xxxxxxxxx>]

Hi Mark,

Thanks for replying to my post.  Actually, my idea
about what I want is reasonably crisp, it's just my
programming skills that are not so crisp.  :)

I want the rate of decrease in the number of contracts
("K's") traded to be twice as fast as the rate of
increase while enduring a drawdown period.  Thus, and
this was modified from a ZapFutures' presentation by
Ryan Jones, I would like to have the following:

TABLE 1 (Delta = $1000)    TABLE 2 (Delta = ?)
Rate of Increase (ROI)     Rate of Decrease (2xROI)
Acct. Size   #K's          Acct Size  #K's
20,000-20,999 = 1          80,100 = 11
21,000-22,999 = 2          69,100 = 9
23,000-25,999 = 3          60,100 = 7
26,000-29,999 = 4          53,100 = 6
30,000-34,999 = 5          47,100 = 4
35,000-40,999 = 6          43,100 = 3
41,000-47,999 = 7          40,100 = 2
48,000-55,999 = 8          38,100 = 2
56,000-64,999 = 9          36,100 = 1
65,000-74,999 = 10
75,000-85,999 = 11

Table 1 was calculated using a fixed ratio Delta value
of $1,000 and a starting account of $20,000.  The
calculation is very simple:  Level to Add One More
Contract = Previous Acct. Size + (Num of K's from
Previous Level x Delta).  For example:  $21,000 + (2 x
$1,000) = $23,000 => now trade 3 contracts.  I'm not
sure how Table 2 was derived.

Note for example that if one could somehow have the
code I previously posted work to use a Delta of $2,000
during drawdown then the rate of decrease would be as
shown in Table 3, which still is not really very
similar to Table 2:

TABLE 3 (Delta = $2,000)
Rate of Decrease
Account Size #K's
76,000 = 7
62,000 = 6
50,000 = 5
40,000 = 4
32,000 = 3
26,000 = 2
22,000 = 1

Too large a drop in the number of contracts traded
occurs at the outset, versus that shown in Table 2,
and then the number doesn't drop fast enough later.

As a starting point, I've just been trying to have the
code (see my previous post) use Delta1 = $1,000 when
netprofit is increasing and Delta1 = $2,000 when
netprofit is decreasing (even though I'd actually like
to have the more uniform type of decrease shown in
Table 2), but no matter what code manipulations I try
(e.g., making netprofit a variable "Pft", and then
having requirements such as "If Pft>=Pft[1] then
Delta1 = 1000 Else If Pft<Pft[1] then Delta1 =
2000;"), EasyLanguage seems to only want to use one
Delta value or the other and not a combination.

Thanks for any help,
Mark
Mark Johnson wrote:

"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."