Any pointers to the Optimal-f portfolio allocation method?
- Thread starter mizhael
- Start date
optimal-f is not a particularly good opsition sizing/growth strategy. Better is something like fixed ration (Ryan Jones)
http://www.traders2traders.com/papers/Ryan.Jones.MM.htm
or even better, Fixed Fractional:
http://www.stator-afm.com/fixed-fractional-position-sizing.html
Van Tharp has also published some books related to these topics.
He is asking about porfolio allocation, not position sizing. Position size is just a contraint in portfolio allocation. I thought after thousands of posts you would understand the difference.
Now forget about all the idiots who propose optimal position sizing. They are all failures. Some have never even traded a single share. Some have only won in contests. Yeah, optimal sizing always works in contests.
Quote from ronblack:
He is asking about porfolio allocation, not position sizing. Position size is just a contraint in portfolio allocation. I thought after thousands of posts you would understand the difference.
http://www.seertrading.com/SID/512.html
It is mostly used by position sizing aficianados. I understand the difference fine.
Position sizing is not an edge. It is similar to stop losses. It is a money management method.
And yes, his constant attempts to sell Fixed Ratio over the years as if it made the difference were basically snake oil