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> I am doing some research about the money management strategy optimal f.
> Are
> there trades out there who uses optimal f. Did you made some adaptions ?
>
> Last question: does anyone have improvements or alternatives of the
> optimal
> f strategy of Ralph Vince.
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I've been working on this for quite a while now and is a very difficult
problem (for an idiot like me anyway).
I like the Dynamic Fractional Optimal F strategy that Mr Vince mentions in
his 3rd book, but I still do not feel comfortable with it. I'm now toying
with the idea of modifying the Dynamic Fractional Opt F so that the inactive
part of the portfolio is always a fixed amount of the maximum equity
reached. So say you start with $100,000 and you only want to ever have a
drawdown of 30% so you put $30,000 in active and $70,000 in inactive and you
apply the standard Opt F on the $30,000. You lose money. Your active
component is now less than $30,000 but your active will never get less than
$70,000. On the otherside, say you make a profit. You increase the
inactive portion from $70,000 to 70% of whatever the new equity high is, and
your active portion also increases to 30% of the equity high. Its sort of
like a trailing stop. You'll never have drawdowns greater than 30% or
whatever you decide to do. And the active portion is traded optimally.
Hope this helps. Any ideas to support this or any idea to oppose this would
be greatly welcomed.
The thing I have problems with Opt F is combining multiple systems. It
requires you to rebalance as often as possible and it includes open profits
and loses as opposed to closed P&L and its hard to combine multiple systems
which trade on totally different time frames.
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