Posted By: AdamWu
About OptimalF and Money management - 07/03/21 01:41
Hi, bellow is the money management script suggested in the documentation:
So if OptimalFLong = 0, Margin for long trades is 0. But how OptimalFLong is effecting the training process? For example NumWFOCycles=3 and if in the first training loop long trades loose money. In this case, OptimalFLong< 0 right? Then in the following loops, there will be no long orders any more?
What if short trades also loose money, then their will be no trades at all?
Code
// multi-asset system: reinvest the square root of profits separately per component and long / short trades var AvailableCapital = Capital/sqrt(NumComponents); Margin = ifelse(ForLongTrade,OptimalFLong,OptimalFShort)*AvailableCapital*sqrt(1+(WinLong-LossLong)/AvailableCapital);
So if OptimalFLong = 0, Margin for long trades is 0. But how OptimalFLong is effecting the training process? For example NumWFOCycles=3 and if in the first training loop long trades loose money. In this case, OptimalFLong< 0 right? Then in the following loops, there will be no long orders any more?
What if short trades also loose money, then their will be no trades at all?
