The following link is an article about fixed ratio position sizing developed by Ryan Jones:
http://www.stator-afm.com/fixed-rati...on-sizing.html
I attempted to replicate the table into an excel spreadsheet. I'm close, but not quite there yet.
The problem is with the formula in the column "Contr#":
=0.5*((1 + 8 * P/delta)^0.5 + 1)
I added a column "Total P/LContr", which is what "P" in the formula is calculated from, and I added a column "BBF".
However, the # of contracts from the attached spreadsheet does not match the number of contracts from the attached link.
Also, the # of contracts times the PL/Contr does not calculate correctly either.
Any help appreciated.
http://www.stator-afm.com/fixed-rati...on-sizing.html
I attempted to replicate the table into an excel spreadsheet. I'm close, but not quite there yet.
The problem is with the formula in the column "Contr#":
=0.5*((1 + 8 * P/delta)^0.5 + 1)
I added a column "Total P/LContr", which is what "P" in the formula is calculated from, and I added a column "BBF".
However, the # of contracts from the attached spreadsheet does not match the number of contracts from the attached link.
Also, the # of contracts times the PL/Contr does not calculate correctly either.
Any help appreciated.
Attached File(s)
FixedRatio.xls
23 KB
|
605 downloads