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Greetings;
Haven't seen anything recent about this in the archives, but just joined
the list anyway in hopes of someone out there still being involved
and/or interested in further discussion(s) on fixed fractional trading
and specifically the concepts from Ralph Vince's works!
My seemingly one remaining unresolved issue with this is how to
accurately deal with fixed fees such as commissions. With the "optimal
f and options" notion, which I'm looking to apply to futures options
specifically, Mr. Vince seems to even address this topic as such, but
only briefly in his "Mathematics of Money Management" book on page
228...
My issue with it specifically though is for any time after the very
first holding period. If we just include the cost of fixed fees, then
we don't seem to accurately reflect any established positions for which
we've already sunk fees like commissions, leaving us possibly way too
far left of the optimal f! Of course if we just don't include the fees,
then we don't seemingly accurately reflect any additional opportunities
for the same instrument, leaving us possibly way too far right of the
optimal f!!!
Hope this sounds familiar to "someone out there..."
Thank you and have a great day,
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