Optimal F Money Management algorithm to be inlcuded in Quant Analyzer

The Optimal F system of money management was devised by Ralph Vince, and he’s written several books about this and other money management issues. The idea is that you determine the ideal fraction of your money to allocate per trade based on past performance. If your Optimal F is 18%, then each trade should be 18 percent of your account — no more, no less. The system is similar to the fixed fraction and fixed ratio methods, but with a few differences.

The following figure shows the equation for finding the number of shares of stock, N, to trade according to the Optimal F method.

The equation for finding the number of shares to trade under Optimal F.

F is a factor based on the basis of historical data, and the risk is the biggest percentage loss that you experienced in the past. Using these numbers and the current price, you can find the contracts or shares you need to buy. If your account has $25,000, your biggest loss was 40%, your F is determined to be 30%, and you’re looking at a stock trading at $25 per share, then you should buy 750 shares:

An example of the Optimal F calculation.

The Optimal F number itself is a mean based on historical trade results. The risk number is also based on past returns, and that’s one problem with this method: it only kicks in after you have some trade data. A second problem is that you need to set up a spreadsheet to calculate it (so read Ralph Vince’s book if you want to try it out). Some traders only use Optimal F in certain market conditions, in part because the history changes each time a trade is made, and that history doesn’t always lead to usable numbers.

I have even find out an inefficient source code implementation with link attached below:

http://www.seertrading.com/an-optimal-f-money-management-position-sizing-strategy-by-ralph-vince/

Is there any way to include the Optimal f money management algorithm in the Quant Analyzer Money Management module?

thank you in advanced for your flawless and prompt support

 

 

If you have experience with Java code or you know somebody who has you can add a snippet for this into QuantAnalyzer using QuantEditor

You can also add a request for this using our ticket system. Follow the link https://roadmap.strategyquant.com/projects/qa4/tasks