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About OptimalF and Money management #483652
07/03/21 01:41
07/03/21 01:41
Joined: May 2020
Posts: 45
A
AdamWu Offline OP
Newbie
AdamWu  Offline OP
Newbie
A

Joined: May 2020
Posts: 45
Hi, bellow is the money management script suggested in the documentation:

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?

Re: About OptimalF and Money management [Re: AdamWu] #483888
08/10/21 15:16
08/10/21 15:16
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Training must not be affected by capital of course. There is no money management or OptimalF used in training.


Moderated by  Petra 

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