THE GMEAN  (following) 2

You will find the copy of the optimalf.xls file of Gibbons below:

You will note that it is the practical application to a speculation on futures of the system.

The number of trades is the whole part of the division of the account by the necessary sum to stand on a trade. 

This necessary sum for trader a contract is equal to the maximal loss (-6.54) * $625/-0.36 = 11 354.17.

All these data permit to calculate the picture:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Num

Trades

HPRs

#Units

Acct. Equity

 

 

 

 

(points)

Traded

100 000

Current f

f

0,36

 

1

9,15

1,50

8

145 750

Starting Acount Equity

Start

$100 000

 

2

5,90

1,32

12

190 000

Dollars per whole dawns per unites

Dollars

$625

 

3

1,20

1,07

16

202 000

Largest losing trade (points)

MaxLoss

-6,54

 

4

-4,20

0,77

17

157 375

Equity required per unites traded

EPU

$11 354,17

 

5

-5,05

0,72

13

116 344

Terminal Wealth Relative

TWR

7,1482

 

6

-3,70

0,80

10

93 219

Number of trades

Num.Trades

49

 

7

0,65

1,04

8

96 469

Geometric mean

GMEAN

1,0410

 

8

2,10

1,12

8

106 969

Geometric average trade

GAT

$465,03

 

9

-1,45

0,92

9

98 813

Ending equity trading at f current

EGAIN

$658 256

 

10

15,80

1,87

8

177 813

 

 

 

 

11

4,20

1,23

15

217 188

 

12

8,55

1,47

19

318 719

 

13

-2,70

0,85

28

271 469

 

14

13,54

1,75

23

466 106

 

15

-1,74

0,90

41

421 519

 

16

-2,12

0,88

37

372 494

 

17

14,92

1,82

32

670 894

 

18

-2,88

0,84

59

564 694

 

19

2,32

1,13

49

635 744

 

20

-3,16

0,83

55

527 119

 

21

-0,92

0,95

46

500 669

 

22

-3,14

0,83

44

414 319

 

23

11,68

1,64

36

677 119

 

24

3,32

1,18

59

799 544

 

25

0,56

1,03

70

824 044

 

26

-6,00

0,67

72

554 044

 

 

 

 

27

1,08

1,06

48

586 444

 

 

 

 

28

-5,84

0,68

51

400 294

 

 

 

 

29

-1,50

0,92

35

367 481

© Copyright 1994

 

 

30

6,08

1,33

32

489 081

by Gibbon Burke

 

 

31

2,00

1,11

43

542 831

All rights reserved

 

 

32

-4,58

0,75

47

408 294

 

 

 

 

33

2,98

1,16

35

473 481

 

 

 

 

34

-0,64

0,96

41

457 081

 

 

 

 

35

4,22

1,23

40

562 581

 

 

 

 

36

21,06

2,16

49

1 207 544

 

 

 

 

37

-6,54

0,64

106

774 269

 

 

 

 

38

-0,22

0,99

68

764 919

 

 

 

 

39

-3,06

0,83

67

636 781

 

 

 

 

40

-3,12

0,83

56

527 581

 

 

 

 

41

2,20

1,12

46

590 831

 

 

 

 

42

14,06

1,77

52

1 047 781

 

 

 

 

43

-2,16

0,88

92

923 581

 

 

 

 

44

3,44

1,19

81

1 097 731

 

 

 

 

45

4,12

1,23

96

1 344 931

 

 

 

 

46

-5,24

0,71

118

958 481

 

 

 

 

47

-2,96

0,84

84

803 081

 

 

 

 

48

-0,86

0,95

70

765 456

 

 

 

 

49

-2,56

0,86

67

658 256

 

The right part of the Gibbon leaf reproduced: the optimal f, the corresponding gmean as well as the result of the speculation that in résulte: 

f = 0.12 -> gmean = 1.02 -> total result of tradeses = 255 119

You will find some diagrams permitting to visualize these data.

Two points are to put in evidence:

1 - in relation to the axis of symmetry of the gmean,pour one same output, he/it is preferable to choose the optimal the weakest f.

2 - while observing the diagram here under, one realizes that the top of the graph is flattened very, and that one can arbitrate without too much a pity for an optimal slightly weaker f.