Secure F

Modified on 2017/09/12 17:52 by Eugene — Categorized as: PosSizers

Secure F returns a fractional value of capital to invest in every trade to meet a constraint of maximum drawdown allowed.

Specify the max. tolerated drawdown, default position size that will be in effect during first N trades (while performance statistics is collected). Since this PosSizer proved itself as an avid risk seeker, specify the fraction of the Secure F to actually use in a system.

References:

Secure Fractional Money Management (PDF of July 1998 article)