Re: [RT] fixed fractional trading...

["sunfiles" <sunfiles@xxxxxxx>]

Do you have any code developed to date for fixed fractional 
trading with Ralph Vince's work?  If you do we can start from their and see 
if their is anything we can add or comments we can make for your work to 
date.  Is a good place to start.
 
Brian
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  <DIV 
  style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From: 
  User 
  & 
  To: <A title=realtraders@xxxxxxxxxxxxxxx 
  href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx 
  
  Sent: Thursday, June 27, 2002 12:39 
  PM
  Subject: [RT] fixed fractional 
  trading...
  Greetings; Haven't seen anything recent about this 
  in the archives, but just joinedthe list anyway in hopes of someone out 
  there still being involvedand/or interested in further discussion(s) on 
  fixed fractional tradingand specifically the concepts from Ralph Vince's 
  works! My seemingly one remaining unresolved issue with this is how 
  toaccurately deal with fixed fees such as commissions.  With the 
  "optimalf and options" notion, which I'm looking to apply to futures 
  optionsspecifically, Mr. Vince seems to even address this topic as such, 
  butonly briefly in his "Mathematics of Money Management" book on 
  page228... My issue with it specifically though is for any time 
  after the veryfirst holding period.  If we just include the cost of 
  fixed fees, thenwe don't seem to accurately reflect any established 
  positions for whichwe've already sunk fees like commissions, leaving us 
  possibly way toofar left of the optimal f!  Of course if we just 
  don't include the fees,then we don't seemingly accurately reflect any 
  additional opportunitiesfor the same instrument, leaving us possibly way 
  too far right of theoptimal f!!! Hope this sounds familiar to 
  "someone out there..." Thank you and have a great 
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