Window of opportunity 

The adaptive f concepts adjusts the trade-size value in accordance to the same principles of optimal f, but without the benefit of hindsight and using a moving window that better reflects current market conditions.

 

Function CalcOptimalF_TPVir(Increment As Double, TradeLookBack, objMark As TSProcessor.IMarket,ByRef LargestLoss)

 

Dim Trades As Array

Dim f As Double

Dim bestF As Double

Dim bestValue As Double

Dim biggestLoser As Double

Dim curValue As Double

Dim i As Integer

Dim TradeInfo As Array

 

TradeLookBack = Min(TradeLookBack, objMark.TradeCount)

 

If TradeLookBack = 0 Then 

CalcOptimalF_TPVir = .1

Exit Function

End If  

 

ReDim (Trades, TradeLookBack)

 

For i = 0 To TradeLookBack - 1

Trades[i] = objMark.VirTrade(i).Profit

 

Next

 

bestValue = -9999999

biggestLoser = Min(Trades)

 

For f = (0 + Increment) To (1 - Increment) Step Increment

curValue = 1

 

For i = 0 To UBound(Trades)-1

            curValue = curValue * (1 + (f * ( -1 * Trades[i] / biggestLoser)))

Next

 

If curValue > bestValue Then

            bestValue = curValue

            bestF = f

End If

 

Next 

 

LargestLoss = biggestLoser

CalcOptimalF_TPVir = bestF

 

End Function