Anyone know how to code Kelly’s F Optima for PRT ???
Thanks, is very important for a good medium por long strategie.
Ok.
But, the traducción yo PRT???
Sorry, im not programmer!!!
Someone may help when they have time (provided they have the knowledge to do it).
O wait.
Thanks boys!!
The vector dax code is very good as a base. but I have modified it widely. The results are very good, but you have to pyramid. operates much less than the original vector. mine level is between 90-95% of success. That’s why I need Kelly’s F Optima, to be able to pyramid without too much risk.
Here is Kelly’ Criterion Formula as an indicator.
Just input the decimal odds and the probability of success and it returns the percentage of capital that you should stake.
B = 2.0 //decimal odds
P = 52 //probability of success
B = B-1
P = P/100
Q = 1-p //probability of failure
KCF = ((B*P-Q)/B)*100
return KCF
I’m afraid Vonasi is no use to me… thank you for your work, though.
Kelly’s F Optima takes into account capital, % hit, stop, and average profit and loss.
Besides, I’d like to automate it for Proorder.
Serious type:
REM Money Management
Capital 1000
Risk – 0.0005
PStopLoss ? 1.2 // Could be our variable X
REM Calculate contracts
equity – Capital + StrategyProfit
maxrisk ? round(equity*Risk)
PositionSize ? abs(round(maxrisk/PStopLoss)/PointValue)*pipsize)
but becareful, applying Kelly’s F Optima.
sorry, the result links don’t work, I think
The hit rate is in both robots between 90-95%.
And they earn about 5000 euros each robot in 100000k trading in addition with a very small account and with little money per operation.
@sdesergio
Please do not post links to pictures, rather attach them as either JPG or PNG files.
Should you need to attach documents, please use either PDF or TXT file.
Thank you.
And other problem…
In the normal Code if money management, i cant management Risk under 0.0005 (5% of capital).
I say, for example, i cant management Risk to 0.0002 or 0.0003 (2 or 3% of capital).
Thanks too!!!
sdesergio – please try to be tidier when posting. Several of your posts have had to be deleted as they were either repeat posts or meaningless. 🙂
There is an old discussion about Optimal F here:
Ralph Vince’s Optimal F Positioning Sizing
Thanks Vonasi!
And sorry, but im from Spain, and my english language is basic.
I traduct with Google traductor… Is bad.
Ok, thanks for the links.
I think what the F Optimal, or F Secure, can programmer automatically for Proorder.
But i need help.
sdesergio – please do not bump posts by simply posting ‘Hi!’. It does not make anything happen any faster. If no one has answered then it is because they do not have the answer and wasting their time by getting them to read ‘Hi!’ will not make them suddenly have the answer.
It seems that the F in Optimal F is a factor based on historical data but what that is exactly I have no idea from what I have read so far, and the risk is the biggest percentage loss that you experienced in the past. To automate this you need to have a trade history of what your worst loss can be so as to calculate it. This would involve having a simulated version of your strategy to keep a record of the value of F. As no one knows what your strategy is then they cannot code it and it may be a very difficult thing to code.
The calculation itself is not complicated but knowing what F is and automating it is.
