V.8:12 (476-477): Find your optimal f by Ralph Vince
Product Description
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
Where:
P = The probability of winning
W = The amount you may win
L = The amount you may lose
ME = Mathematical expectation
Suppose someone offers to pay you $2 if a coin toss comes up heads, but you must pay $1 if the result is tails. The mathematical expectation here is a positive 50 cents, because
(2 • 0.5) + [-1 (1 - 0.5)] = 0.50
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
Where:
P = The probability of winning
W = The amount you may win
L = The amount you may lose
ME = Mathematical expectation
Suppose someone offers to pay you $2 if a coin toss comes up heads, but you must pay $1 if the result is tails. The mathematical expectation here is a positive 50 cents, because
(2 • 0.5) + [-1 (1 - 0.5)] = 0.50
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