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In a message dated 5/16/2003 1:30:08 AM Eastern Daylight Time, yaokai@xxxxxxxxxxxxxxx writes:
if i use the half optimal f of 0.21, the margin and capital conflict can be solved, but it will severely reduce the profit.
Always err on the side of caution when trading with optimal f. If your real time largest loss is greater than the largest loss seen in testing (you should always assume it will be) and you are trading at optimal f, you will be trading too many contracts and you will be wiped out. Starting at half optimal f is a better, safer way to trade.
It's been years since I've been in touch with Ralph Vince; I don't have an email address for him.
Sincerely,
Howard Bernstein
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