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Hello again Brian;
And thank you for your response and most valuable offer of looking over
details as such. I haven't developed much yet other than some
preliminary parameters, functions and data structures, as I'm looking to
to reasonably understand this first and have a conceptual working plan
before even diving in to all the technical aspect.
And I really think I have most of that in place other than my very
specific commission issue that I'm wondering if even sounds familiar
enough. Do you know if Ralph Vince even addresses trading fees and/or
commissions anywhere other than in his "Mathematics of Money Management"
book on page 228, especially in the context of the "optimal f and
options" notion as I'm looking to apply within his "New Money
Management" framework though, where the author even points out in that
latter book on page 152 how we're to "always rerun the model coming into
each new holding period to reflect any changes?"
Thank you again and have a great weekend,
On Thu, 2002-06-27 at 12:54, sunfiles wrote:
> 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
> ----- Original Message -----
> From: User &
> To: 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 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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