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Thanks to Aaron for the simple proof of the statistical
advantages of fixed fractional. It's always good to see
information on newsgroups rather than unsupported
assertions.
Ray, In my opinion the way to use fixed fractional with
futures is to bet at the integer size below your
calculation. This means that you will maximize your survival
at the expense of a lower return. Smaller contracts like
corn may get multiple contracts within your bet size and
with bigger contracts you might choose to use mini contracts
(if you wanted to go to that much trouble!).
Survival is much more important than the optimal fraction.
John
----- Original Message -----
From: "Ray Gurke" <Ray@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Sunday, August 25, 2002 4:07 PM
Subject: Re: Geometric Capital Growth / Optimal-f
Okay... but what, if any, is the "practical" upshot of this
if your primary
trading vehicle is a portfolio of futures and you're a
regular Joe with an
account size of 100K or less? The hypothetical account
size/growth achieved
through Fixed Fractional or Fixed Ratio looks splendid on
paper ...but have
you ever tried placing an order to trade 1.6 futures
contracts -- because
that's the current bet size/percentage your money management
strategy calls
for? It appears to me that to follow/utilize either a fixed
fractional or
fixed ratio approach your account size would have to be HUGE
...like the
ability to trade 10 - 100 contracts of every item in your
portfolio,
depending on how closely you intended to follow the bet size
gradient. This
just sounds like a statistical pissing match to me, unless
your primary
trading vehicle is stocks, or you're a professional CPO, CTA
or Hedge Fund
manager with a fair amount of money under management. Am I
missing something
here?
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