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Optimal F ( Position Size ) Spreadsheet/Excel


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Optimal F ( Position Size ) Spreadsheet/Excel

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  #1 (permalink)
vpd1952
memphis
 
 
Posts: 77 since Mar 2020
Thanks: 209 given, 23 received

Does someone still happen to have what I believe was an Excel based ( Optimal F ) spreadsheet?

I remember it was from roughly 4 or 5 years ago

You could punch in your various Trading parameters ( Account size, Risk per trade Percent, Number of Contracts, etc. ) and it would populate your Optimal F for any particular trading scenario

Thanks so much to anyone who has it and would be willing to share and or can point me to it or one similar

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  #2 (permalink)
Pluto
Celebration, FL
 
 
Posts: 2 since Sep 2010
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vpd1952 View Post
Does someone still happen to have what I believe was an Excel based ( Optimal F ) spreadsheet?

I remember it was from roughly 4 or 5 years ago

You could punch in your various Trading parameters ( Account size, Risk per trade Percent, Number of Contracts, etc. ) and it would populate your Optimal F for any particular trading scenario

Thanks so much to anyone who has it and would be willing to share and or can point me to it or one similar

Not sure if this is the one you are referring to, but see what you think.

Attached Files
Register to download File Type: xlsx Risk Adjusted Optimal F.xlsx (12.2 KB, 258 views)
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  #3 (permalink)
vpd1952
memphis
 
 
Posts: 77 since Mar 2020
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Pluto,
you are the best - this is the exact one I was looking for

Thank you so much for posting and sharing this

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  #4 (permalink)
 robert880 
Chicago + IL
 
Experience: Beginner
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Trading: ES
 
Posts: 68 since Feb 2014
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Wondering if anyone can help me understand. Say you calculate 10% (.1) for Kelly or optimal f. How do you turn that into the number of futures contracts one should trade? For example say I have a 100,000 account balance, Kelly % of .2, $1000 margin per ES futures contract, tick value $12.5. How many futures contracts can I put on per trade?

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  #5 (permalink)
 askerix 
Switzerland
 
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robert880 View Post
Wondering if anyone can help me understand. Say you calculate 10% (.1) for Kelly or optimal f. How do you turn that into the number of futures contracts one should trade? For example say I have a 100,000 account balance, Kelly % of .2, $1000 margin per ES futures contract, tick value $12.5. How many futures contracts can I put on per trade?

it does not directly rely to the tick value but more on your planned risk in $ per contract.

on a per Entry base you have to calculate your total_$risk (1000$)/per-contract-$risk, depending on your planned stop loss to get the contracts for this entry (round down to the next number for the number of contracts).


hth
askerix

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  #6 (permalink)
 robert880 
Chicago + IL
 
Experience: Beginner
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Trading: ES
 
Posts: 68 since Feb 2014
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askerix View Post
it does not directly rely to the tick value but more on your planned risk in $ per contract.

on a per Entry base you have to calculate your total_$risk (1000$)/per-contract-$risk, depending on your planned stop loss to get the contracts for this entry (round down to the next number for the number of contracts).


hth
askerix

I think I follow.... So let's say that I use the calculator and it spits out 10% for optimal F. My account size is $100,000. I want to take an entry on the ES and my stop is 2 points ($100). In order to get the number of contracts would I do the following: 100,000 (account size) X .1 (optimal f or Kelly) = 10,000. Then 10,000 / $100 (risk per trade) = 100 Lots. Not sure why one would use margin since it does not represent how much risk you have in the trade. It's just the leverage that your broker lets you have. Do I have this correct?

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  #7 (permalink)
 askerix 
Switzerland
 
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yes, your math is correct.

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  #8 (permalink)
larry007
Milano+Italy
 
 
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Is there anyone who uses Optimal F in their trading?

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  #9 (permalink)
 kevinkdog   is a Vendor
 
 
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larry007 View Post
Is there anyone who uses Optimal F in their trading?

I have (not currently though), but I have analyzed and run a bunch of tests with it.

On a given backtest, it can definitely be shown to be optimal.

The problem in real time going forward is that if (when!) things change with the trading strategy (win percentage changes, drawdown lengths or durations change, etc.) what was optimal in testing suddenly becomes not only far from optimum, but usually downright awful.

So, watch out. Run it live without real money for a few months first.

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