## Optimal F in EasyLanguage for TradeStation and MultiCharts

Here is the code for the Optimal F calculation. For a really good explanation of Optimal F I refer you to Ralph Vince’s Book *Portfolio Management FORMULAS. *We had programmed this years ago for our **Excalibur** software and I was surprised the EasyLanguage code was really all that accessible on the internet. Finding the **optimal** f is found through an iterative process or in programmers terms a loop. The code is really quite simple and I put it into a **Function.** I decided to create this function because I wanted to demonstrate the ideas from my last post on how a function can store variable and array data. Plus this code should be readily available somewhere out there.

```
//OptimalFGeo by George Pruitt
//My interpretation Sept. 2018
//www.georgepruitt.com
//georgeppruitt@gmail.com
input: minNumTrades(numericSimple);
vars: totalTradesCount(0),tradeCnt(0);
array: tradesArray[500](0);
vars: iCnt(00),jCnt(00),grandTot(0),highI(0);
vars: optF(0.0),gMean(0.0),fVal(0.0),HPR(0.0),TWR(0.0),hiTWR(0.0);
vars: biggestLoser(0.0),gat(0.0);
totalTradesCount = totalTrades;
If totalTradesCount > totalTradesCount[1] then
begin
tradeCnt = tradeCnt + 1;
tradesArray[tradeCnt] = positionProfit(1);
end;
// Taken from my Fortran library - GPP and Vince Book PMF
optF = 0.0;
gMean = 1.00;
gat = 0.00;
//Only calculate if new trade
IF(tradeCnt>minNumTrades and totalTradesCount > totalTradesCount[1]) then
Begin
biggestLoser = 0;
grandTot = 0;
For iCnt = 1 to tradeCnt //get the biggest loser
begin
grandTot = grandTot + tradesArray[iCnt];
IF(tradesArray[iCnt]<biggestLoser) then biggestLoser = tradesArray[iCnt];
end;
// print(grandTot," ",biggestLoser);
IF({grandTot > 0 and} biggestLoser <0) then
begin
// print("Inside TWR Calculations");
highI = 0;
hiTWR = 0.0;
for iCnt = 1 to 100
begin
fVal = .01 * iCnt;
TWR = 1.0;
for jCnt = 1 to tradeCnt // calculate the Terminal Wealth Relative
begin
HPR = 1. + (fVal * (-1*tradesArray[jCnt]) / biggestLoser);
TWR = TWR * HPR;
// print(fVal," ",iCnt," " ,jCnt," Trades ",tradesArray[jCnt]," HPR ",HPR:6:4," TWR : ",TWR:6:4," hiTWR",hiTWR:6:4," bl ",biggestLoser);
end;
// print(iCnt," ",TWR," ",hiTWR);
IF(TWR>hiTWR) THEN
begin
hiTWR = TWR;
optF = fVal; // assign optF to fVal in case its the correct one
end
else
break; //highest f found - stop looping
end;
If (TWR <= hiTWR or optF >= 0.999999) then
begin
TWR = hiTWR;
OptimalFGeo = optF; //assign optF to the name of the function
end;
gmean = power(TWR,(1.0 / tradeCnt));
if(optF<>0) then GAT = (gMean - 1.0) * (biggestLoser / -(optF));
print(d," gmean ",gmean:6:4," ",GAT:6:4); // I calculate the GMEAN and GeoAvgTrade
end;
end;
```

Optimal F Calculation by Ralph Vince code by George Pruitt

#### VBA version of Optimal F

For those of you who have a list of trades and want to see how this works in Excel here is the VBA code:

```
Sub OptimalF()
Dim tradesArray(1000) As Double
i = 0
biggestLoser = 0#
Do While (Cells(3 + i, 1) <> "")
tradesArray(i) = Cells(3 + i, 1)
If tradesArray(i) < bigLoser Then biggestLoser = tradesArray(i)
i = i + 1
Loop
tradeCnt = i - 1
highI = 0
hiTWR = 0#
rc = 3
For fVal = 0.01 To 1 Step 0.01
TWR = 1#
For jCnt = 0 To tradeCnt
HPR = 1# + (fVal * (-1 * tradesArray(jCnt)) / biggestLoser)
TWR = TWR * HPR
Cells(rc, 5) = jCnt
Cells(rc, 6) = tradesArray(jCnt)
Cells(rc, 7) = HPR
Cells(rc, 8) = TWR
rc = rc + 1
Next jCnt
Cells(rc, 9) = fVal
Cells(rc, 10) = TWR
rc = rc + 1
If (TWR > hiTWR) Then
hiTWR = TWR
optF = fVal
Else
Exit For
End If
Next fVal
If (TWR <= hiTWR Or optF >= 0.999999) Then
TWR = hiTWR
OptimalFGeo = optF
End If
Cells(rc, 8) = "Opt f"
Cells(rc, 9) = optF
rc = rc + 1
gMean = TWR ^ (1# / (tradeCnt + 1))
If (optF <> 0) Then GAT = (gMean - 1#) * (biggestLoser / -(optF))
Cells(rc, 8) = "Geo Mean"
Cells(rc, 9) = gMean
rc = rc + 1
Cells(rc, 8) = "Geo Avg Trade"
Cells(rc, 9) = GAT
End Sub
```

VBA code for Optimal F

I will attach the eld and .xlsm file a little later.