Ralph Vince’s Optimal F Positioning Sizing

If you need an Indicator or Signal developed or translated from other language, please post all Indicator development REQUESTS to this section here.

Moderator: admin

Ralph Vince’s Optimal F Positioning Sizing

Postby isamegrelo » Sun Aug 12, 2018 1:40 pm

Code:

// reinvest the square root of your portfolio component profits, separately for long and short trades
if(GoLong)
Margin = OptimalFLong * Capital * sqrt(1 + (WinLong-LossLong)/Capital);
else
Margin = OptimalFShort * Capital * sqrt(1 + (WinShort-LossShort)/Capital);

// reinvest the square root of your portfolio component profits
Margin = OptimalFLong * Capital * sqrt(1 + ProfitClosed/Capital);

// reinvest the square root of your total profits
Margin = OptimalFLong * Capital * sqrt(1 + (WinTotal-LossTotal)/Capital);
isamegrelo
FXCodeBase: Initiate
 
Posts: 114
Joined: Mon May 29, 2017 3:36 pm

Re: Ralph Vince’s Optimal F Positioning Sizing

Postby Apprentice » Mon Aug 13, 2018 5:06 am

You want a strategy that will increase your position, if not optimal? All based on the formula.
What if the position is greater than optimal?
Can you confirm it?
User avatar
Apprentice
FXCodeBase: Confirmed User
 
Posts: 36341
Joined: Thu Dec 31, 2009 11:59 am
Location: Zagreb, Croatia

Re: Ralph Vince’s Optimal F Positioning Sizing

Postby isamegrelo » Mon Aug 13, 2018 11:42 am

We need position sizing indicator based on Optimal F.
If there are no formula, may be you can create indicator for Kelly criterion?

https://en.wikipedia.org/wiki/Kelly_criterion
isamegrelo
FXCodeBase: Initiate
 
Posts: 114
Joined: Mon May 29, 2017 3:36 pm

Re: Ralph Vince’s Optimal F Positioning Sizing

Postby Apprentice » Tue Aug 14, 2018 4:52 am

We have Margin, OptimalFLong, Capital ,WinLong,LossLong ,WinShort,LossShort
Which of these inputs, if any has been entered by the user.
Which of these inputs, if any has been provided by TS.
Your end goal is to calculate Margin, OptimalFLong...
User avatar
Apprentice
FXCodeBase: Confirmed User
 
Posts: 36341
Joined: Thu Dec 31, 2009 11:59 am
Location: Zagreb, Croatia

Re: Ralph Vince’s Optimal F Positioning Sizing

Postby isamegrelo » Tue Aug 14, 2018 6:17 am

Well. Thanks.
isamegrelo
FXCodeBase: Initiate
 
Posts: 114
Joined: Mon May 29, 2017 3:36 pm


Return to Indicator and Signal Requests

Who is online

Users browsing this forum: No registered users and 21 guests