Hello, Can someone tell me why in the Excel spreadsheet we have three random numbers generated in columns B, C, and L, while only the number from C is used in calculations? Thanks, Moh

Hi PFXGlobal, Thanks for the comment. Actually I didn't want to undermine the importance of back-testing in that post. It's just when it comes to measuring performance I personally rather to use more mathematical ways. I like back-testing because it ...

Hi Frank, Thanks for showing interest in this thread. Just so you know I have not been posting on this thread for a while now but it's just temporary and I will start again very soon. Thanks, Moh

Hi PipItUp, I am really sorry for this long delay. To be honest with you I am ultimately busy these days. There are a lot of traders want to generate performance reports on their trading results and need my assistance. But I assure you I won't let ...

Hi PipItUp, Sorry for the delay. I was away for a few days. As per your first question, as I mentioned before the relationship between potential gain and quantity risked is not a straight line. It is curved and there is a peak to this curve. In ...

An Example — All right it seems my last post was kind of complicated. As requested I will clarify with an example. If you remember we tried to find the optimal f for a sequence of trades using Kelly formula in another post. Using Kelly we came ...

Fixed Fractional Method 3 — So far we talked about fixed fractional method and discussed why Kelly formulas should be avoided to calculate optimal f. The proper way to calculate optimal f, as it is suggested by Ralph, is to use Geometric Mean. ...

Hi David, Thanks for visiting and I got to say I can read from your post that you've been working on these concepts for a while. I am glad that you found this thread interesting. There is no problem with completely ignoring dependency. The impact of ...

Hi tazmet, I’m glad you found this thread useful and thanks for devoting time to read through all the pages. As you said it’s not an easy read. I tried to keep it really simple though. As per your questions please find my answers below: You got this ...

In order to fix this problem so many traders mistakenly take the averages of wins and losses to calculate B. Consider the following sequence of trades: +9, +18, +7, +1, +10, -5, -3, -17, -7 As you can see this is not a Bernoulli distribution (the ...

Fixed Fractional Method 2 — All right so we mentioned if the winners and losers are not the same size, the first Kelly formula would not yield the correct answer. Consider a coin-toss example, where all of the winners are for 2 units and all ...

Thanks for you contribution. In my opinion you are somehow (maybe without knowing) using fixed fractional method. As I mentioned fixed fractional allows you take risk into account when deciding on your position sizing. The only difference here is ...

It is great that you already have something in place that works for you. Maybe by getting more exposure to the math behind some of these techniques you can back your system with some facts and feel more comfortable with it. Thanks, Moh

Fixed Fractional Method 1 — This method is explained extensively by Ralph Vince in his amazing book, “Portfolio Management Formulas”, and here I will try to give you a very brief abstract. Fixed Fractional method is based on reinvestment of ...

Sorry PipItUp. Blame it on makrets Anyways here it comes. Thanks, Moh

Hi PipItUp, As I mentioned in my previous post I haven't personally used any MM software so I really cannot recommend any. Maybe some of the guys here can help you with that. Basically I look at money management as an incremental process. Any ...

Hi fierceman, Thanks for the research and contribution. I went over and checked it and I have to say you are completely right about convergence and crossing on the chart. As per your question about the software, well over the course of years I have ...

Agreed, Recently someone asked me to develop an EA for him based on this method. Actually we used the second way of trading equity curve.We tailored the size of the trades based on crosses. I mean we didn't stop trading just increased and reduced ...

Hi fierceman, Thanks for the comment Now if you look at the formula for calculating the 10 day SMA: SMA = X + (X-1) + (X-2)+ ... + (X-9)/10 You will notice that as long as one of the Xs is different in the last 10 series the resultant SMA would be ...

Hi PipItUp, As I said this is a common mistake usually made by novice traders when deciding on their position size. They tend to look at how much profit they want to make per pip and then adjust their calculations accordingly to calculate the risk ...