RE: Rate of Decrease in "Fixed Ratio" algorithm

[Rich Estrem <restrem@xxxxxxxxxxxxx>]

At 03:45 PM 7/17/01 -0700, Mark Baze wrote:
>
>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:
-snip-


Mark -

Here is EL code to do what you want. I was going to
write this some time ago, but never got around to
it until now. Hope this helps. Thanks to Mark Johnson
for his slick one-liner size formula used in my code.

rich


{*********************************************************************
Fixed Ratio MM with decrease twice as fast. 
code written by Rich Estrem, 7/17/01.

notes: 
this code calculates the next size to trade using the Fixed Ratio 
Money Management method, using a rate of decrease which is 
twice as fast as the increase rate. To use this in a system, paste 
this code into your system and specify "size" as the number of 
contracts to trade in your buy/sell orders.  
ex: "if ... then buy size contracts at market" 
*********************************************************************}

input:MMdelta(1000);
vars:size(1),pft(0),maxpft(0),maxsize(1),PLhi(0),PLlo(0),sz(1),half(0),decr(
0);

pft=netprofit; {I only use closed profits since a large MFE could cause
errors}

if pft > maxpft then begin {calc size if pft is increasing (normal rate):}
	maxpft=pft;
	if pft >= MMdelta  then size =
intportion(0.5+SquareRoot((2*pft/MMdelta)+0.25)) else size=1;
	if size > maxsize then maxsize=size;
end else if maxsize > 1 then begin {calc size if in a DD (faster rate):}
	if pft < MMdelta then begin
		sz=1;
	end else begin
		sz= intportion(0.5+SquareRoot((2*pft/MMdelta)+0.25));
		if sz < maxsize then begin
			decr=(maxsize-sz)*2;
			PLhi=(MMdelta*(square(sz+1-0.5) - 0.25))/2 ;
			PLlo=(MMdelta*(square(sz-0.5) - 0.25))/2 ;
			half=(PLhi + PLlo) / 2;
			if pft >= half then decr = decr - 1;
			sz=maxsize-decr;
			if sz < 1 then sz=1;
		end;
	end;
	size=sz;
end;