Hi Everton --
Optimal f is pretty aggressive.
Depending on your personal risk tolerance, and on the riskiness of the trading system, the safe position size for most systems is considerably less than optimal-f.
Depending on your personal risk tolerance, and on the riskiness of the trading system, the safe position size for most systems is considerably less than optimal-f.
https://www.youtube.com/watch?v=Vw7mseQ_Tmc
Further, I strongly recommend that position size be treated as a function of trading management, not as a function of the trading system. That is, when developing, testing, and analyzing the system, use a single constant size for all positions. Then apply position sizing trade-by-trade. The YouTube presentation explains in more detail.
Continuing to use an aggressive position size while in a trading drawdown is an act of faith. It assumes that the system is stationary. There is another presentation on YouTube that discusses stationarity.
https://www.youtube.com/watch?v=iBhrZKErJ6A
https://www.youtube.com/watch?v=iBhrZKErJ6A
When the performance of a system begins to deteriorate, it is due to a change in the underlying relationships that create the patterns your system is identifying. If that change is temporary, profitability will return. If the change is permanent (or at least longer than you care to wait through the drawdown), the correct management action is to reduce position size. As the drawdown deepens, the position size should be reduced to zero -- take the system offline until it demonstrates that it is recovering. If the position size calculation is in the trading model, that trade-by-trade profitability information is not available to it, so the model does not know to reduce position size.
On Sat, Jan 23, 2016 at 4:38 AM, queiroz_everton@yahoo.com [amibroker] <amibroker@yahoogroups.com> wrote:
Hello,
Does anyone have the AFL code of Optimal F by Ralph Vince?
Best Regards
Everton Queiroz
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Posted by: Howard B <howardbandy@gmail.com>
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