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Ok, perhaps some help from someone?
For 'non-coder's'--assume a delta of $5,000 with starting equity of $25,000.
Progression up goes
$25,000--1 contract
$30,000--2 contracts
$35,000--3 contracts
$50,000--4 contracts
$70,000--5 contracts
etc...etc...up to 20 contracts
Anyone know the decrease numbers from 20 contracts back down to 1--assuming the 'twice as fast' decrease as the 'increase?'
And the simple 'math' formula to determine the twice as fast decrease assuming starting balance of $25,000 with a delta of $5,000.
Thanks...good discussion
steven
----- Original Message -----
From: "ChasW" <cwwaring@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Tuesday, November 20, 2001 6:52 PM
Subject: Re: [RT] bet sizing in excel/easylanguage
> This was proposed elsewhere
>
>
> At 03:45 PM 7/17/01 -0700, Mark Baze wrote:
> >
> >I want the rate of decrease in the number of contracts
> >("K's") traded to be twice as fast as the rate of
> >increase while enduring a drawdown period. Thus, and
> >this was modified from a ZapFutures' presentation by
> >Ryan Jones, I would like to have the following:
> -snip-
>
>
> Mark -
>
> Here is EL code to do what you want. I was going to
> write this some time ago, but never got around to
> it until now. Hope this helps. Thanks to Mark Johnson
> for his slick one-liner size formula used in my code.
>
> rich
>
>
> {*********************************************************************
> Fixed Ratio MM with decrease twice as fast.
> code written by Rich Estrem, 7/17/01.
>
> notes:
> this code calculates the next size to trade using the Fixed Ratio
> Money Management method, using a rate of decrease which is
> twice as fast as the increase rate. To use this in a system, paste
> this code into your system and specify "size" as the number of
> contracts to trade in your buy/sell orders.
> ex: "if ... then buy size contracts at market"
> *********************************************************************}
>
> input:MMdelta(1000);
> vars:size(1),pft(0),maxpft(0),maxsize(1),PLhi(0),PLlo(0),sz(1),half(0),decr(
> 0);
>
> pft=netprofit; {I only use closed profits since a large MFE could cause
> errors}
>
> if pft > maxpft then begin {calc size if pft is increasing (normal rate):}
> maxpft=pft;
> if pft >= MMdelta then size =
> intportion(0.5+SquareRoot((2*pft/MMdelta)+0.25)) else size=1;
> if size > maxsize then maxsize=size;
> end else if maxsize > 1 then begin {calc size if in a DD (faster rate):}
> if pft < MMdelta then begin
> sz=1;
> end else begin
> sz= intportion(0.5+SquareRoot((2*pft/MMdelta)+0.25));
> if sz < maxsize then begin
> decr=(maxsize-sz)*2;
> PLhi=(MMdelta*(square(sz+1-0.5) - 0.25))/2 ;
> PLlo=(MMdelta*(square(sz-0.5) - 0.25))/2 ;
> half=(PLhi + PLlo) / 2;
> if pft >= half then decr = decr - 1;
> sz=maxsize-decr;
> if sz < 1 then sz=1;
> end;
> end;
> size=sz;
> end;
>
>
> ----- Original Message -----
> From: "profitok" <profitok@xxxxxxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Cc: <gannsghost@xxxxxxxxxxxxxxx>
> Sent: Tuesday, November 20, 2001 11:08 AM
> Subject: [RT] bet sizing in excel/easylanguage
>
>
> > > Hello to all...
> > >
> > > Anyone out there have any bet-sizing algorithms
> > > (that have actually improve stats)in EasyLanguage or
> > > Excel format?
> > > Thanks in advance,
> > > Ben
> >
> >
>
>
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>
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