I'm still learning this money management stuff, and should've probably read lots of documentation before jumping on here with my own ideas, but I'll try my luck anyway.

From what I understand, Optimal F's function is to determine the ideal fraction of the money to allocate per trade based on past performance, given in percentage of the money available. [http://www.dummies.com/how-to/content/the-optimal-f-money-management-style.html]

So, in a way, it's already a complete and usable formula for position sizing. You use it simply by multiplying it with your available margin, and probably with some other factor (less than 1) depending on your risk appetite. But, that's it. I believe Z's work like that.

What doesn't feel right to me in your source, is that you first invent artificial thresholds in OptF (.0001, .1, .15), and then once again, completely artificially assign 1, 2, or 3 open trades to them, in the process destroying all that OptF has given you, a precise measure of how much to invest, in that particular instrument, and depending on the direction of the trade you plan to take.

I might be completely off with the above, but that's how I see it.

What I think you could've done, is feed ALL you instruments, and let OptF sort it out, and then also use the raw OptF value to decide if to take the trade (or not), and especially how large position to take. If you look closely, some of the OptF factors are 0, so your strategy could just skip those trades (0 lots = no trade). Once again, I believe all Z's work just like that. With, of course, some additional stuff.

Do I make any sense?