I have written a thesis that explains the mathematics behind Ralph Vince's concepts of the "optimal f" and "leverage space trading model." It also provides practical examples involving trading systems operating on futures markets.
I include the details below. Perhaps some of you will find this interesting.
(Posted with a prior permission from Elite Trader Support.)
Sincerely,
Shlok Datye
Stockholm, Sweden
--
Money Management Principles for Mechanical Traders
Shlok Datye
Master's thesis in mathematical statistics
Master's program in mathematics
Royal Institute of Technology
Stockholm, Sweden
November 2012
Abstract:
In his five books during 1990-2009, starting with Portfolio Management Formulas, Ralph Vince made accessible to mechanical traders with limited background in mathematics various important concepts in the field of money management. During this process, he coined and popularized the terms "optimal f" and "leverage space trading model."
This thesis provides a sound mathematical understanding of these concepts, and adds various extensions and insights of its own. It also provides practical examples of how mechanical traders can use these concepts to their advantage. Although beneficial to all mechanical traders, the examples involve trading futures contracts, and practical details such as the back-adjustment of futures prices are provided along the way.
Download (PDF): http://shlok.is/thesis/thesis.pdf
Companion website: http://shlok.is/thesis
Official university link: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-104332
I include the details below. Perhaps some of you will find this interesting.
(Posted with a prior permission from Elite Trader Support.)
Sincerely,
Shlok Datye
Stockholm, Sweden
--
Money Management Principles for Mechanical Traders
Shlok Datye
Master's thesis in mathematical statistics
Master's program in mathematics
Royal Institute of Technology
Stockholm, Sweden
November 2012
Abstract:
In his five books during 1990-2009, starting with Portfolio Management Formulas, Ralph Vince made accessible to mechanical traders with limited background in mathematics various important concepts in the field of money management. During this process, he coined and popularized the terms "optimal f" and "leverage space trading model."
This thesis provides a sound mathematical understanding of these concepts, and adds various extensions and insights of its own. It also provides practical examples of how mechanical traders can use these concepts to their advantage. Although beneficial to all mechanical traders, the examples involve trading futures contracts, and practical details such as the back-adjustment of futures prices are provided along the way.
Download (PDF): http://shlok.is/thesis/thesis.pdf
Companion website: http://shlok.is/thesis
Official university link: http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-104332