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Been experimenting with my favorite trading topic, money management.
Specifically I've been playing around with Fixed Ratio (See "Trading Game by
Ryan Jones).
Given N (Number of contracts) and Delta, required profits to trade N
contracts is
Equity_Level = ((N*(N-1)) / 2) * Delta
More useful would be a formula that solves for N given current Equity_Level
and Delta. I came up with a quick and dirty brute force VB function that
does the trick which I'm sharing with the list at the risk of ridicule by
you math geniuses and/or VB experts who I am sure could come up with a more
eloquent and beautiful solution.
SH
Function Fixed_Ratio_N(Equity_Level As Double, Delta As Double) As Integer
Dim N_High As Integer
Dim Level_High As Double
N_High = Int(Sqr((Equity_Level / Delta) * 2)) + 1
Level_High = ((N_High * (N_High - 1)) / 2) * Delta
If Level_High <= Equity_Level Then
Fixed_Ratio_N = N_High
Else
Fixed_Ratio_N = N_High - 1
End If
End Function
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