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From Adam Hardy <adam.ha...@cyberspaceroad.com>
Subject [math] algorithm to establish value of parameter giving max value of equation
Date Wed, 28 May 2008 18:07:51 GMT

Please excuse my ignorance to begin with, it's been years since my last 
mathematics or statistics class in school. I looked through the user 
guide on commons.apache.org but I was struggling with the terminology, 
and had a hard time figuring out whether I could find what I'm looking for.

Also apologies if this is the wrong list - I'm following the advice on 
the commons-math proposal page which said to post here.

I have two equations:

HPR = (( profit_loss / biggest_loss ) * f ) + 1

where HPR = 'holding period return' (percent gain)
profit_loss = dollar win (or loss if negative)
biggest_loss = worst loss (given beforehand)
and f = 'fixed fraction' (to optimize)

TWR = product of all HPRs for a series of profits and losses from a 
financial trading or gambling system for value of f

Solving this by "brute force", I would find the value of 'f' by 
incrementing up from 0.01 in steps of perhaps 0.01 and solving TWR for 
each value until TWR peaks.

Fortunately it will always peak before f reaches 1.0.

Would it be possible to use part of commons-math to do this rather than 
writing loops within loops to iterate the profits and losses and then 
the f-values?




Best regards
Adam

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