I just realised the Margin formula for the optimised version was producing a CAGR of about 40%.

Margin = 0.1 * OptimalFLong * Capital;

Changing it to a compounding version produced a CAGR of 95%. I changed both short and long versions to include compounding equity.

Margin = 0.1 * OptimalFLong * (Capital + WinTotal-LossTotal);

Now is optimalF already doing the compounding as it were as I noticed that the lot sizes go up with equity increases over time? Is introducing the additional WinTotal - LossTotal a form of over optimisation?

Last edited by RTG; 12/09/15 00:57.