Portfolio Management Formulas Mathematical Trading Methods For The Futures Options And Stock Markets Author Ralph Vince Nov 1990 __link__ -

[ G = \left[ \prod_i=1^n (1 + f \times \textTrade_i) \right]^1/n ]

[ f = \frac(\textBW \times \textP) - (1-P)\textBW ]

[ \textHPR_i = 1 + f \times \left( \frac-\textTrade_i\textWorst Loss \right) ]

This book is the sequel to his earlier Mathematics of Money Management and focuses specifically on and its application to portfolios of futures, options, and stocks. It is considered a foundational text for Quantitative Trading and Risk Management . 1. The Central Thesis: Money Management > Entry/Exit Signals Vince argues that how much you bet (position sizing) is more important than when you buy or sell. Two traders can have identical entry signals, but the one using optimal position sizing will outperform the other over time.