Ralph Vince’s Optimal F Positioning Sizing

Bard · Sun, 02 Apr 2017 21:05:40 +0000

With regard to money management your largest drawdown hasn’t happened yet but it will and it will increase with your capital growth. The best course of action would be to use Ralph Vince’s Optimal F strategy to only reinvest the square root of the capital growth, i.e. your capital goes from 10k to 20k but you don’t double the size of your trades (position size), i.e. you only trade the sq root of the increase in capital growth and attribute that ratio to position sizing: The sq root of 2(x) = 1.4. You will effectively be trading a £14,000 account. Therefore position size has not grown as fast as your capital and this will avoid large future drawdowns that will always typically be 50% more than you backtest results ever hinted out. Can anyone code this for PRT as I have looked for it here but it’s not in the library: This is a good Optimal F position size overview: http://www.zorro-trader.com/manual/en/kelly.htm Examples of different investment methods // 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); Thanks for any help, input.

This topic has 23 replies, 1 voice, and was last updated 1 year ago by Gianluca.

Tagged: money management, position size

Viewing 9 posts - 16 through 24 (of 24 total)

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09/27/2017 at 8:46 AM #47463

juanj

@Despair, @Nicolas concerning arrays in PRT.

I have once thought about the idea of creating a preset number of arrays (up to whatever number) i.e. array1=0, array2=0, array3=0, etc, etc,

Then use a loop function with If statements to populate and retrieve them as required.

juanj

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09/27/2017 at 10:39 AM #47481

Despair

Well you won’t be able to use index notation and without the possibility to use indices there is no array. It is just a lot of variables.

For a small array this can be done (see the code of the meander bands) but it is impractical for larger arrays.

Despair

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09/27/2017 at 10:48 AM #47482

juanj

The If statements in the loop would kind of function as an index as there would be an If statement for each of the preset ‘array’ variables.

It is obviously going to be one heck of a long piece of code if you have for instance 50+ array variables 🙂

juanj

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09/27/2017 at 11:34 AM #47490

Despair

Long and slow.

Despair

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09/28/2017 at 9:47 AM #47616

Nicolas

Despair wrote:

Long and slow.

and a long list of IF/THEN statements ..

Nicolas

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09/28/2017 at 9:55 AM #47620

juanj

@Nicolas, do you maybe know how far away PRT is from implementing arrays? Months? Years?

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04/15/2018 at 10:19 AM #68386

Gianluca

Guys, any news?

Gianluca

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06/14/2019 at 6:23 PM #100689

gabri

Hi All,

I tried this code and it seems to be working (slowly but surely). Please double check it and make sure there are no errors:

src=close-close[1]


i=0
f=0
delta=0.1

mem=0
maxdd=lowest[period](src)
while i<=1 do
w=1

for j=1 to period do
ppp=1
for r=1 to j do
ppp=ppp*(1+(i*src[period-j]/maxdd))
next
w=w*ppp
next
mem=w
if mem>mem[1] then
f=i
endif
i=i+delta
wend
return f,0

src=close-close[1]

i=0

f=0

delta=0.1

mem=0

maxdd=lowest[period](src)

while i<=1 do

w=1

for j=1 to period do

ppp=1

for r=1 to j do

ppp=ppp*(1+(i*src[period-j]/maxdd))

w=w*ppp

mem=w

if mem>mem[1] then

f=i

endif

i=i+delta

wend

return f,0

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Bard

gabri

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09/02/2023 at 6:02 PM #220227

Gianluca

# Definire le variabili
Capital = 10000 # Il capitale iniziale
RiskPerTrade = 0.01 # Il rischio massimo per operazione
StopLoss = 50 # Lo stop loss in punti
TakeProfit = 100 # Il take profit in punti
WinRate = 0.6 # La probabilità di successo

# Calcolare il criterio di Kelly
KellyFraction = WinRate - (1 - WinRate) / (TakeProfit / StopLoss)
KellyFraction = max(0, KellyFraction) # Assicurarsi che sia positivo

# Calcolare la dimensione della posizione
PositionSize = Capital * RiskPerTrade / StopLoss * KellyFraction

# Aprire una posizione long se si verifica una condizione
if c1 then
  buy PositionSize contract at market
endif

# Aprire una posizione short se si verifica una altra condizione
if c2 then
  sellshort PositionSize contract at market
endif

# Chiudere la posizione con lo stop loss o il take profit
set stop ploss StopLoss
set target pprofit TakeProfit

# Definire le variabili

Capital = 10000 # Il capitale iniziale

RiskPerTrade = 0.01 # Il rischio massimo per operazione

StopLoss = 50 # Lo stop loss in punti

TakeProfit = 100 # Il take profit in punti

WinRate = 0.6 # La probabilità di successo

# Calcolare il criterio di Kelly

KellyFraction = WinRate - (1 - WinRate) / (TakeProfit / StopLoss)

KellyFraction = max(0, KellyFraction) # Assicurarsi che sia positivo

# Calcolare la dimensione della posizione

PositionSize = Capital * RiskPerTrade / StopLoss * KellyFraction

# Aprire una posizione long se si verifica una condizione

if c1 then

buy PositionSize contract at market

endif

# Aprire una posizione short se si verifica una altra condizione

if c2 then

sellshort PositionSize contract at market

endif

# Chiudere la posizione con lo stop loss o il take profit

set stop ploss StopLoss

set target pprofit TakeProfit

Gianluca

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