Research method
Optimal f sizing
Optimal f sizing is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Account equity, volatility, stop distance and exposure
- Horizon
- Before entry and throughout the position
- Best use
- Keep a loss or exposure decision bounded before a trade is placed.
- Input: Account equity, volatility, stop distance and exposure.
- Output: filter.
- Use boundary: Keep a loss or exposure decision bounded before a trade is placed.
The graph3
How the method is built, and where it has been read
Depends on
Often reviewed together
Drawdown limit4 readings
Often reviewed together
Risk of ruin4 readings
Often reviewed together
Kelly criterion4 readings
Read in the archive12 readings
1990Constructing optimal f when trade sizes differ1993Portfolio heat, optimal f, and drawdown limits1994Construct historical-optimum-leverage from one equity-path1995Optimal f as a leverage bound for commodity account growth1998Secure f keeps Optimal f sizing inside a Drawdown limit1998Optimal f contract counts versus equity fractions1999Match futures starting capital to system risk1999Search system inputs together with Optimal f sizing2001Bounded crash risk with capital units and optimal f2002Optimal f sizing and risk of ruin as exposure filters2003Cap ruin and drawdown before optimal-f2006Ruin odds, the Kelly fraction and optimal f as size filters
This registry entry describes a research method. It is not investment advice and does not make a performance claim.