Optimal F Position Sizing

[ArthurMFTse]

Hello Good Morning Everybody!
I would like to try to code Mr Ralph Vince's Optimal F for my
position sizing money management strategy as following:



#region*Using*declarations
using*System;
using*System.ComponentModel;
using*System.Diagnostics;
using*System.Drawing;
using*System.Drawing.Drawing2D;
using*System.Xml.Serialization;
using*NinjaTrader.Cbi;
using*NinjaTrader.Data;
using*NinjaTrader.Indicator;
using*NinjaTrader.Gui.Chart;
using*NinjaTrader.Strategy;
#endregion
//*This*namespace*holds*all*strategies*and*is*requir ed.*Do*not*change*it.
namespace*NinjaTrader.Strategy
{
****///*<summary>
****///*Enter*the*description*of*your*strategy*here
****///*</summary>
****[Description("Enter*the*description*of*your*strateg y*here")]
****public*class*OptimalFpositionSizing*:*Strategy
****{
**
public*enum*MMType
{
Optimal_F;
}

********#region*Variables
********//*Wizard*generated*variable***
******private*int*longQuantity=*0;
*** private*double*priorTradesCumProfit=*0;
* ***private*double*accbalNew***=*0;
**private*double*winningPercent_W*=*0;
**private*double**riskf****=*2;
**private*double**psize****=*0;
**private*MMType*mmtype;
**private*double*optimalF*=*0;*
**
**
*
******#endregion
********///*<summary>
********///*This*method*is*used*to*configure*the*strategy*and *is*called*once*before*any*strategy*method*is*call ed.
********///*</summary>
********protected*override*void*Initialize()
********{
****AccountSize*=*50000;
****EntriesPerDirection*=1*;
***EntryHandling*=*EntryHandling.UniqueEntries;
***ExitOnClose*=*false;
***IncludeCommission*=*true;
***CalculateOnBarClose*=*false;
*******
******}
********///*<summary>
********///*Called*on*each*bar*update*event*(incoming*tick)
********///*</summary>
********protected*override*void*OnBarUpdate()
********{
***if*(Bars.FirstBarOfSession)
***{
****//*AllTrades*includes*virtual*and*real-time*trades.*For*real-time*trades*please*use*.RealtimeTrades
****
priorTradesCumProfit*=*Performance.AllTrades.Trade sPerformance.Currency.CumProfit;
***}


*******//LONG*CRITERIA
******
***
**if(***********something)
{
*****PositionSize();
*****EnterLong(longQuantity,*"PositionLong");
***}

#region*PositionSIzeFunction*
**void*PositionSize()
**{
********
****
AccbalNew*=*AccountSize*+*priorTradesCumProfit;
*
**
***
if (Performance.AllTrades.Count > 20
&& Performance.AllTrades.LosingTrades.Count!=0)
{
winningPercent_W=((double)Performance.AllTrades.Wi nningTrades.Count-1)/((double)Performance.AllTrades.Count-1);
}
****if(*mmtype*==*MMType.Optimal_F)
****{
double optimalF = 2*winningPercent_W - 1
// Optimal F = 2P - 1, P=Probability of winning trades.

** **psize*=*AccbalNew***(optimalF/100)/stopLoss;
** *****longQuantity=(Convert.ToInt32(Math.Floor(psiz e)/100)*100);
*** ****}*
* }
****Print("");
****Print("ACC*BAlNew:*"+AccbalNew);
****Print("Time:*"+Time[0]);
****Print("CumProfit:*"+priorTradesCumProfit1);
****Print("Position*SIze:*"+Psize);*
****Print("Optimal_F:*"+optimalF);
**}
#endregion

_______

As I believed that using Winning Ratio (winningPercent_W) to calculate
the Optimal F is not accurate enough.

Can anybody help to code the Optimal F base on Mr Ralph Vince's
Formula， as I found it very difficult to code from DataSeries of past hostorical
data.
Thanks for your help.

Arthur

[NinjaTrader_CalH]

Arthur,

Thank you for your note.

Do you have a reference of the formula that you should be following?

What exactly is wrong with the ratio?

[ArthurMFTse]

Hello Cal,

Thanks for your quick reply, I do not know the exact formula for
Optimal F, as
Optimal F can't be done with a simple formula. It is iterating over all trades for all potential value of optimal F until the optimum value is formulated.

I use its simple formula (I not sure this formula is the exact
calculation or not?)
Optimal F = 2P - 1 where p is the probability of winning trade base on
large data simulation.

Thanks for your help.

Arthur

[NinjaTrader_CalH]

Arthur,

From what I've seen is that the Optimal F = biggest loser / Stake per contract

Does that sound about right?

[ArthurMFTse]

Hello Cal,

Thanks for your Optimal F Formula.

I will backtest to see the performance.

[rayko]

Here is what I`ve created to print Optimal F Geometric statistics to the NT Log at the end of a strategy execution. You should only need to cut and paste vPrint_GeoStatistics() into your NT script as a stand alone method and also include a call to it in the NT OnTermination() event... Cheers

protected override void OnTermination()
{
vPrint_GeoStatistics();
}

private void vPrint_GeoStatistics()
{
Print("******************************************* ************************************************") ;
Print("GeoMetric Statistics");
Print("******************************************* ************************************************") ;
if (Performance.AllTrades.Count <= 10)
{
Print("\t .... Trade Count <= 10 ..... cannot calculate GeoMetric Statistics");
return;
}

double dblHPR = 0;
double dblTWR = 1;
double dblTWR_Prev = 1;
double dblTWR_Highest = 1;
double dblOpf_Final = 0;
double dblOptf_Dolr = 0;
double dblMathExpectation = 0;
double dblGeoAvgTrade = 0;
double dblGeoMean = 0;

double dblPRR = 0;
double dblAvg_WinDlr = Performance.AllTrades.WinningTrades.TradesPerforma nce.Currency.AvgProfit;
double dblAvg_LossDlr = Performance.AllTrades.LosingTrades.TradesPerforman ce.Currency.AvgProfit;
double dblTradesCount = Performance.AllTrades.Count;
double dblWinCount = Performance.AllTrades.WinningTrades.Count;
double dblLossCount = Performance.AllTrades.LosingTrades.Count;

double dblLoss_Largest = 0;
int ijk = 1;

// ************************************************** **
// Calculate Pessimistic Return Ratio
// ************************************************** **
dblPRR = (((dblWinCount - (Math.Pow(dblWinCount, 0.5))) / dblTradesCount) * dblAvg_WinDlr) /
(((dblLossCount + (Math.Pow(dblLossCount, 0.5))) / dblTradesCount) * Math.Abs(dblAvg_LossDlr));

// ************************************************** **
// Calculate Geo Statistics
// ************************************************** **

// Determine Largest Loss
for (ijk = 1; ijk < Performance.AllTrades.LosingTrades.Count - 1; ijk++)
{
Trade Trade_Loss = Performance.AllTrades.LosingTrades[ijk];
dblLoss_Largest = Math.Min(dblLoss_Largest, Trade_Loss.ProfitCurrency);
}

// Determine Optf
for (double dblOpf_temp = 0.01; dblOpf_temp <= 1; dblOpf_temp = dblOpf_temp + 0.01)
{
dblTWR = 1;

for (ijk = 1; ijk < Performance.AllTrades.Count - 1; ijk++)
{
Trade Trade_All = Performance.AllTrades[ijk];
dblHPR = 1 + (dblOpf_temp * (-Math.Round(Trade_All.ProfitCurrency, 2) / dblLoss_Largest));
dblTWR = dblTWR * dblHPR;
}

if (dblTWR <= dblTWR_Prev)
{
dblOpf_Final = dblOpf_temp;
dblTWR_Highest = dblTWR_Prev;
break;
}
else
{
dblTWR_Prev = dblTWR;
}

}

dblGeoMean = Math.Pow(dblTWR_Highest, 1 / (double)Performance.AllTrades.Count);
dblMathExpectation = (dblGeoMean - 1) * 100;

// If Optf is somewhat possible... calc OptfDollar and GAT
if (dblOpf_Final != 0.01)
{
dblOptf_Dolr = dblLoss_Largest / -dblOpf_Final;
dblGeoAvgTrade = (dblGeoMean - 1) * (dblLoss_Largest / -dblOpf_Final);
}
else
{
dblOpf_Final = 0;
dblOptf_Dolr = 0;
dblGeoAvgTrade = 0;
dblGeoMean = 0;
dblMathExpectation = 0;
}

if (dblGeoMean == double.PositiveInfinity || dblPRR == double.PositiveInfinity || dblPRR < 0)
{
dblOpf_Final = 0;
dblOptf_Dolr = 0;
dblGeoAvgTrade = 0;
dblGeoMean = 0;
dblMathExpectation = 0;
dblPRR = 0;
}

Print("Optf=\t\t" + dblOpf_Final.ToString("0.00"));
Print("Optf Dollar=\t" + dblOptf_Dolr.ToString("C"));
Print("Math Exp=\t" + dblMathExpectation.ToString("C"));
Print("GAT=\t\t" + dblGeoAvgTrade.ToString("C"));
Print("GEOMean=\t" + dblGeoMean.ToString("0.00"));
Print("PRR=\t\t" + dblPRR.ToString("0.00"));
Print("LargeLoss=\t" + dblLoss_Largest.ToString("C"));
}