FXCodeBase.COM: Forex Chart Indicators and Development

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);

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?

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

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...

Well. Thanks.