Re: [RT] bet sizing in excel/easylanguage

[ChasW <cwwaring@xxxxxxxxxxxxxx>]

This was proposed elsewhere


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;


----- Original Message -----
From: "profitok" <profitok@xxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Cc: <gannsghost@xxxxxxxxxxxxxxx>
Sent: Tuesday, November 20, 2001 11:08 AM
Subject: [RT] bet sizing in excel/easylanguage


> > Hello to all...
> >
> > Anyone out there have any bet-sizing algorithms
> > (that have actually improve stats)in EasyLanguage or
> > Excel format?
> > Thanks in advance,
> > Ben
>
>


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