Libraries: Optimal F for MQL5 (per Ralph Vince)
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Optimal F for MQL5 (per Ralph Vince):
This calculates Optimal f using the Geometric Mean. Per Ralph Vince, "In trading we can count on our wins being for varying amounts and our losses being for varying amounts. Therefore the Kelly formulas could not give us the correct optimal f." So, using his equation(s), I created this library for the Geometric Mean version of Optimal f.
Author: Anthony Garot