Input the values of your EA so that
- this values should be as accurat as possible
- this values should come next close to the original ones
- this values may deviate from the original ones
- when using both strategies simultaneously, then use for each one half of its calculated lotsize
- this values should be the most imortant ones when comparing strategies
2Instead of using Lotsize ~ Balance (B), with Account protection (AP) one of the folowing CRRA utility functions is used
pow: Lotsize ~ ((B/B0+1)(1-AP)-1)/(1-AP)
log: Lotsize ~ ln(B/B0*ln(1/(1-AP))+1)/ln(1/(1-AP))
3 valid for account balances with money equivalent of 1 lot x 1.000 pips, i.e. balance=10.000 $ and lotsize 1 stands for 1 pip = 10 $
The calculated values are correct, when there are sufficient many trades (otherwise the binomial distribution must be used)
and when there is no account protection, so the distribution is log normal and the median is equal to the geometric mean.
For log-normal there is mean>median, for Kelly fraction->0 the distribution becomes normal and mean->median.
With certain combinations of Kelly fraction/Account protection it is possible to transform the log normal distribution into a more favourable one
with a higher median by abandoning the high mean caused by the "fat tail" which is "mainly meaningless".
This webpage is for educational info and exchange of trading ideas.
Nothing mentioned here is to be taken as trading advice.
Nothing on this page in any way is a solicitation to buy, sell or hold
any securities for any reason.
You should consult your broker or financial advisor before placing any trade!
All Trading has RISKS. You must understand and accept all risks associated
with any trades that you place after consulting your broker.
Under certain situations it is possible to lose your entire account.
You never risk more than you can afford to lose.
Hypothetical or simulated performance results have certain limitations. Unlike an
actual performance record, simulated results do not represent actual trading.
Also, since the trades have not actually been executed, the results may have under
or overcompensated for the impact, if any, of certain market factors, such as lack
of liquidity. Simulated trading programs in general are also subject to the fact that
they are designed with the benefit of hindsight, no representation is being made that
any account will or is likely to achieve profits or losses similar to those shown.
There are numerous other factors related to the futures and commodity markets in general
or to the preparation of hypothetical performance results and all of which can adversely
affect actual trading results.
U.S. Government Required Disclaimer:
Commodity Futures Trading Commission. Futures and options trading have large
potential rewards, but also large potential risk. You must be aware of the risks
and be willing to accept them in order to invest in the futures and options
markets. Don't trade with money you can't afford to lose. This letter is neither
a solicitation nor an offer to Buy/Sell futures or options. No representation is
being made that any account will or is likely to achieve profits or losses
similar to those discussed on this letter. The past performance of any trading
system or methodology is not necessarily indicative of future results.
Trading foreign currencies is a challenging and
potentially profitable opportunity for educated and experienced investors.
However, before deciding to participate in the Forex market, you should
carefully consider your investment objectives, level of experience and risk
appetite. There is considerable exposure to risk in any foreign exchange
transaction. Any transaction involving currencies involves risks including, but
not limited to, the potential for changing political and/or economic conditions
that may substantially affect the price or liquidity of a currency.
Moreover, the leveraged nature of FX trading
means that any market movement will have an equally proportional effect on your
deposited funds. This may work against you as well as for you. The possibility
exists that you could sustain a total loss of initial margin funds and your
position will be liquidated and you will be responsible for any resulting
losses. Investors are recommended to lower exposure to risk by employing
risk-reducing strategies such as 'stop-loss' or 'limit' orders. Financial
Resource Group will not be held responsible for the reliability or accuracy of
the information available on this ad. The content provided is put forward in
good faith and believed to be accurate, however, there are no explicit or
implicit warranties of accuracy or timeliness made by Financial Resource Group.
CFTC rule 4.41: Hypothetical or simulated
performance results have certain limitations. Unlike an actual performance
record, simulated results do not represent actual trading. Also, since the
trades have not been executed, the results may have under-or-over compensated
for the impact, if any, of certain market factors, such as lack of liquidity.
Simulated trading programs in general are also subject to the fact that they are
designed with the benefit of hindsight. No representation is being made that any
account will or is likely to achieve profit or losses similar to those shown.