Backtesting OptimalF

Hi,

I´m trying to backtest a simple daily mean reversion system on EURUSD, so i apply optimalf for each trade as a money management tecnique.

The problem is that the applied optimalf factor is always the same, the last one. I´d like to dinamically apply it on the go, as the trades are executed and the equity curve ir created in my backtest.

I don´t see this type of mechanism in Zorro, or maybe i´m not able to find it.

The only similar thing i´ve thought of, is coding the kelly factor and apply it.

¿Is there a simpler way to reproduce this in Zorro?

Thanks in advance.

As far as I know, the OptimalF calculation is not exposed with a function. So OptimalF cannot be dynamically calculated in a backtest, although this would make sense. In live trading you could use the Retrain function for this.

I've made a notice for possibly implementing a dedicated optiomalF function.

Thanks jcl.

I think that feature would be very handy, as it reproduces what i´ve always understood as optimalf as a money management tecnique.

The way optimalf is now used, seems to be more like a Markowitz alternative, a capital allocation tool.

For now, i´ve implemented the kelly factor as an alternative.