# maxProbProfit: Maximize the Probability of Profit In LSPM: The Leverage Space Portfolio Modeler

## Description

Maximize the Probability of Profit

## Usage

 ```1 2``` ``` maxProbProfit(lsp, target, horizon, constrFun=NULL, constrVal=NULL, zmin=-1, margin=NULL, equity=NULL, upper, lower, ...) ```

## Arguments

 `lsp` A `lsp` object. `target` The profit target. `horizon` The number of holding periods. `constrFun` A string naming the constraint function. `constrVal` The value of the constraint function that should not be exceeded. `zmin` A value or vector of minimum values for the two martingale exponents. If `zmin` is a vector, the first (second) element is used when portfolio equity is below (above) `target`. `zmin` must be <= -1 and >= 0. `margin` A vector of inital margin values for each event series. `equity` Current account equity. `upper` Upper f-value bounds (recycled, if necessary). `lower` Lower f-value bounds (recycled, if necessary). `...` Parameters to be passed to `constrFun`.

## Value

 `f` Initial f values. `z` Martingale z values. The first (second) exponent is used when portfolio equity is below (above) the target value. `profitProb` Maximum probability of profit.

Joshua Ulrich

## References

Vince, Ralph (2007) The Handbook of Portfolio Mathematics. New York: John Wiley & Sons, Inc.
Vince, Ralph (2009) The Leverage Space Trading Model. New York: John Wiley & Sons, Inc.

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33``` ``` ## Not run: data(port) # DEoptim parameters (see ?deoptim) DEctrl <- list(itermax=11, trace=1) # Unconstrained maximum probability of profit res <- maxProbProfit(port, 1e-6, 4, control=DEctrl) # Margin-constrained maximum probability of profit res <- maxProbProfit(port, 1e-6, 4, control=DEctrl, margin=-port\$maxLoss*5, equity=1e6) # Initial population ipop <- cbind(runif(50,0,0.01),runif(50,0,0.01),runif(50,0,0.01), runif(50,-1,-0.8),runif(50,-1,-0.8)) # DEoptim parameters (see ?deoptim) DEctrl <- list(itermax=11, trace=1, initial=ipop) # Drawdown-constrained maximum probability of profit res <- maxProbProfit(port, 1e-6, 4, probDrawdown, 0.1, DD=0.2, calc.max=4, control=DEctrl) # Create snow socket cluster for two cores library(snow) clust <- makeSOCKcluster(2) # Drawdown-constrained maximum probability of profit using two cores res <- maxProbProfit(port, 1e-6, 12, probDrawdown, 0.1, DD=0.2, calc.max=4, snow=clust, control=DEctrl) ## End(Not run) ```

LSPM documentation built on May 31, 2017, 4:15 a.m.