Can't comment on Optimal F, but Kelly is mathematically optimal in a casino-like setting where the outcomes follow a known fixed distribution which is the same for every iteration, and you can play a very large (unlimited) number of rounds. In trading, the risk and reward are constantly shifting with the market, so the assumptions required for optimality don't apply. The point of Kelly is to grow as fast as possible. If you like, think of trading as a car metaphor: in theory if you knew your route perfectly you could always drive the maximum on every road without even looking out the window. That's Kelly. In reality you don't know if there is ice or fallen trees on some sections until you get there. Given the tremendous amount of uncertainty in trading, I think it makes more sense to try to grow your bankroll at at a safe rate instead of the maximum rate. You need to stay in the game to win it. I suggest building the best model you can for the volatility of your returns. Then look at things like look at things like volatility targeting, sharpe, VaR, maxDD. Limit your risk to something very comfortable so that you can never blow up. If you are not making enough money this way, using a lot more leverage is unlikely to be the answer. Instead improve your edge, find more edges and diversify, trade OPM.
Also while we’re on the subject do you have any thoughts on Ryan Jones’s fixed ratio analysis for compounding profits for maximum growth of the account? In principle it sounds like a great idea and seems to make sense but I’m interested to see if anyone has used it in a practical situation and had good success with it?
I always try to start the day with $5000 as this helps me to maintain a decent stream of income for a day. In the initial days of my trading I used to open trade from $500 and kept my risk around 1%. Keeping the risk to rewards ratio equal, I was able to make profit of $10. But now as the opening balance is $5000, sometimes I am able to mark a reasonably average profit of $100 per day.