Quote from: upupup on June 13, 2018, 03:05:25 AM

Quote from: h7r on June 12, 2018, 09:17:02 AM

Very interesting.

I would recommand this book about porfolio managment: "The Handbook of Porfolio Mathematics" from Ralph Vince.

Why dont make public all the porfolios registered in your website ?

I was wondering about the same

Oh finally i met someone who knows Ralph Vince ! Are you using the f optimal in your trading strategy ? I made some spreadsheets that gave me the number of units I have to sell/buy in function of the f aka the risk I want to assume. In an other book, "The Leverage Space trading Model", he goes more deeply in this theory, and it becomes very exciting. Example : a chapter about how to maximize the probability of profit given a maximum drawdown percentage you are ready to assume. So its not only about how to maximize geometrical mean but also about maximizing probability of profit and minimizing drawdowns. All this thing can be solved mathematically but ppl generally ignore it and are trading "blindly". Another chapter about "The inelectutate coordinates": to resume, the fact you may not be using the optimal f doesnt mean your are not under the laws of this "leverage space" where the f parameter will indicate your position - and so your risk.