Find your optimal f by Ralph Vince
ARTICLE SYNOPSIS ...Find your optimal f by Ralph Vince
As a computer programmer for Larry Williams, winner of the 1987 World Cup Championship of Futures Trading, I have had the opportunity to analyze many good trading systems. Even the best systems, however, suffer from an as-yet incomplete library of money management techniques. I felt a technique to select the optimal number of contracts to trade in an account needed to be designed. The value of such a system is determined by using the formula for mathematical expectation:
(W?P)+[L (1 -P)]=ME
P = The probability of winning
W = The amount you may win...