Thank you, Eugene, for this code. As you take the square root of Kelly, does that mean you give it about half the weight of PI? or less?
Using 'Divide & Conquer' I have checked and compared it with my code and indeed your CPI is more reliable in the sense that the 'Worst' heat maps are less blue. In fact I have never seen a 'brighter' 'Worst' heat map of the parameter Entry against Exit. The 'Best' heat maps were not very different, however. My interpretation of this would be that the optimizer follows the promising paths in a better way. (?) As to the interpretation of the 'Worst' heat maps: If a 'Worst' heat map is mostly deep blue, then some of the other parameters are crucial for the outcome. Is this conclusion correct? -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
