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Is anyone out there interested in 'optimal f' or 'secure f' fractional money
management techniques?
I tend to follow Ralph Vince and optimal f up to the point where Vince takes the
'biggest loss' from the trade history to which he applies the formula.
Alot of persuasive opinions on the net warn about optimal f being untradeable
and very risky, and I agree with that except that mostly optimal f is completely
rejected instead of being modified.
The secure f solution is the only published improvement on Vince's optimal f,
but I'm not happy with that either, since it also uses the trade history to
determine the formula, or worse, advocates using just some figure that the
trader would be comfortable with regarding drawdown.
It seems obvious to me that the optimal f money management formula can be
improved easily by taking the 'biggest loss' to be the biggest price gap or
slippage experienced in the particular market being traded.
If anyone has read this far and is interested or knowledgeable on the subject,
what do you think?
Regards
Adam
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