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Replying to your message of Saturday, August 3, 2002, 11:25:27 PM,
Following is a formula I know to be correct:
NewSize = SQRT(2*CurrentProfit/delta + .25) + .5
To be clear, CurrentProfit is what it says... profit. In other words, it is
current account equity minus initial account equity.
Of course SQRT won't give an integer result so you need to round or
truncate it (I add the .5 shown above and then I truncate it).
Also, the above formula is only the basic Fixed Ratio during equity runups.
It is more complicated to implement the calculations for when your
account is in a drawdown. Jones suggests several methods for handling
drawdown.
Paul
> Hello OmegaList,
> I have been trying to use a spreadsheet to calculate Fixed Ratio,
> and I am stuck on the calc for position size. Had the calc below
> noted down from somewhere, but doesn't give the correct result.
> NewSize = SQRT(2*PrevProfit/delta + 1/4 + (StartSize^2 - 1))
> Appreciate help from any math wiz's out there. TIA!
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