Just started playing with OptimalF to allocate money in a portfolio strategy.
I set(FACTORS+PARAMETERS) and trained the strategy.
The .fac file below appears to show enough win/loss trades to create a positive OptF value for the assets, but it doesn't.
Furthermore, there are several 0.999 values. The formula below would overallocate more money than I have because there are five (5) .999 OptF entries there.
Margin = 0.5 * OptimalF * Capital;
My .fac file:
AAPL:SellPut .000 2.98 9/3 23.5
AAPL:SellPut:L .000 ---- 0/0 0.0
AAPL:SellPut:S .000 2.98 9/3 23.5
AMGN:SellPut .001 3.13 6/1 7.3
AMGN:SellPut:L .000 ---- 0/0 0.0
AMGN:SellPut:S .001 3.13 6/1 7.3
HPE:SellPut .000 0.12 1/6 -2.5
HPE:SellPut:L .000 ---- 0/0 0.0
HPE:SellPut:S .000 0.12 1/6 -2.5
IR:SellPut .000 0.69 5/2 -2.6
IR:SellPut:L .000 ---- 0/0 0.0
IR:SellPut:S .000 0.69 5/2 -2.6
MA:SellPut .999 ++++ 6/0 18.4
MA:SellPut:L .000 ---- 0/0 0.0
MA:SellPut:S .999 ++++ 6/0 18.4
MKC:SellPut .137 133.33 5/1 9.0
MKC:SellPut:L .000 ---- 0/0 0.0
MKC:SellPut:S .137 133.33 5/1 9.0
MSFT:SellPut .000 1.33 7/4 4.7
MSFT:SellPut:L .000 ---- 0/0 0.0
MSFT:SellPut:S .000 1.33 7/4 4.7
MTCH:SellPut .006 4.42 6/4 5.6
MTCH:SellPut:L .000 ---- 0/0 0.0
MTCH:SellPut:S .006 4.42 6/4 5.6
PAYX:SellPut .001 1.48 3/3 1.4
PAYX:SellPut:L .000 ---- 0/0 0.0
PAYX:SellPut:S .001 1.48 3/3 1.4
UBNT:SellPut .017 51.10 6/1 26.1
UBNT:SellPut:L .999 ++++ 1/0 0.2
UBNT:SellPut:S .017 50.76 5/1 25.9
VIG:SellPut .999 ++++ 2/0 2.4
VIG:SellPut:L .000 ---- 0/0 0.0
VIG:SellPut:S .999 ++++ 2/0 2.4
