I found this EasyLanguage calculator of F in the September 26 2018 post of this blog:

http://georgepruitt.com/category/easylanguage/must-know/

I know nothing of EasyLanguage coding but I see that it uses arrays which may make conversion to PRT either impossible or very difficult.

Perhaps Nicolas could comment on whether it could be converted?

Note: DO NOT try to use the code posted here in PRT as it is – it is EasyLanguage code!

//OptimalFGeo by George Pruitt
//My interpretation Sept. 2018
//www.georgepruitt.com
//georgeppruitt@gmail.com

input: minNumTrades(numericSimple);
vars: totalTradesCount(0),tradeCnt(0);
array: tradesArray[500](0);

vars: iCnt(00),jCnt(00),grandTot(0),highI(0);
vars: optF(0.0),gMean(0.0),fVal(0.0),HPR(0.0),TWR(0.0),hiTWR(0.0);
vars: biggestLoser(0.0),gat(0.0);

totalTradesCount = totalTrades;
If totalTradesCount > totalTradesCount[1] then
begin
	tradeCnt = tradeCnt + 1; 
	tradesArray[tradeCnt] = positionProfit(1);
end;

// Taken from my Fortran library - GPP and Vince Book PMF

optF = 0.0;
gMean = 1.00;
gat   = 0.00;
//Only calculate if new trade
IF(tradeCnt>minNumTrades and totalTradesCount > totalTradesCount[1]) then 
Begin
	biggestLoser = 0;
	grandTot = 0;
	For iCnt = 1 to tradeCnt //get the biggest loser
	begin
   		grandTot = grandTot + tradesArray[iCnt];
   		IF(tradesArray[iCnt]<biggestLoser) then biggestLoser = tradesArray[iCnt];
	end;
//	print(grandTot," ",biggestLoser);
	IF({grandTot > 0 and} biggestLoser <0) then 
	begin
//		print("Inside TWR Calculations");
		highI = 0;
		hiTWR = 0.0;
		for iCnt = 1 to 100
		begin
			fVal = .01 * iCnt;
			TWR = 1.0;
			for jCnt = 1 to tradeCnt // calculate the Terminal Wealth Relative
			begin
    			HPR = 1. + (fVal * (-1*tradesArray[jCnt]) / biggestLoser);
    			TWR = TWR * HPR;
 //   			print(fVal," ",iCnt," " ,jCnt," Trades ",tradesArray[jCnt]," HPR ",HPR:6:4," TWR : ",TWR:6:4," hiTWR",hiTWR:6:4," bl ",biggestLoser);
			end;
//			print(iCnt," ",TWR," ",hiTWR);
			IF(TWR>hiTWR) THEN
			begin
    			hiTWR = TWR;
    			optF = fVal;    	// assign optF to fVal in case its the correct one		
			end
			else
    			break;                     //highest f found - stop looping
		end;		
		If (TWR <= hiTWR or optF >= 0.999999) then
		begin
			TWR  = hiTWR;
			OptimalFGeo = optF;  //assign optF to the name of the function
		end;	
		gmean = power(TWR,(1.0 / tradeCnt));
		
		if(optF<>0) then GAT   = (gMean - 1.0) * (biggestLoser / -(optF));		
		print(d," gmean ",gmean:6:4," ",GAT:6:4);  // I calculate the GMEAN and GeoAvgTrade
	end;
end;

I think it will take a few moments to get my head round what that code is trying to do. Perhaps it would be better to try to code it as an indicator with a simulated strategy built in rather than a strategy?

@sdesergio

do NOT use Insert PRT code for TEXT, it doesn’t work!

In you last request did you refer to the current discussion or to Kelly’s Secure F?

@sdesergio

do NOT use Insert PRT code for TEXT, it doesn’t work!

sdesergio – no one is working here. No one is employed or paid by anyone else to provide free coding solutions to anyone else. This is a forum set up by someone who is not employed by PRT just to provide a community for those who use PRT. It is moderated by volunteers.

The Optimal F calculation that you request has been discussed in the past and no one was able to provide the code then. We are now a tiny step closer thanks to the Easylanguage code that I found and thanks to Nicolas’s conversion of it- all this despite a lack of actual information on how exactly Optimal F is calculated from yourself or from any sources found by anyone else and yet you are complaining that no one has provided you with an answer. Then you throw in a whole bunch of new demands on top!

As moderators we have had to constantly remind you of basic forum etiquette and to tidy up your posts after you and as volunteers giving our time for free we would appreciate it if you took up slightly less of our time doing this.

At the moment your posts are likely to get you less help rather than more help. 🙂