"New Money Management"

Discussion in 'Risk Management' started by swoop[TR], Feb 26, 2003.

  1. Just finished Ralph Vince's last book (1995) on the notorious Optimal F, I don't really know what to think of it, it seems like it could really hurt more than help your capital/risk management.

    Would anyone like to share any ideas that they have on the book / concept?
  2. he does go to great lengths to justify risks per trade of >10% doesn't he?

    personally, i just cannot justify taking that much risk on a trade, regardless of whether or not i am 'maximizing' my strategy's performance.
  3. fsoft22


    There is simple software at www.intelsyst.com Momey Manager that use optimal f. But i have read that some traders recommend to use F/2 <= F < optimal F

  4. Yes, I agree. Optimal F seemed way too bullish in most cases. It gets even more complicated when you are doing dynamic position sizing. Will probably stick to conventional MM.
  5. Pit Bull

    Dancing With Lions

    Only 2 books that menat something. Others promise what they can't deliver.
  6. Optimal F is a concept like E=mc2: simple. But when you want to build a nuclear power plant only knowing E=mc2 is not enough :). But if you don't know the concept sure you can't build such a plant. So Optimal F is useful new concept compared to the old VAR preconised by the "officials" risk theoricians from JP Morgan School but VAR is now known to be poor risk concept. So Optimal is a progress compared to VAR but the problem in Optimal lies in practical determination of the real value. Just the same problem you have if you want to determine the true average of a population from samples: you will never get the true value although it exists.