Ralph Vince
Operationalized by
Throttle Control Panel — the 7-tier deployment ladder
Integration rate
67% — computed, with the gaps below
The record
What is publicly documented.
Verified against multiple public sources. Where sources disagree, the disagreement is stated rather than resolved silently.
- Profession
- Computer programmer — analytical software for funds, large traders and professional gamblers
- Field
- Portfolio management, position sizing, trade optimisation
- Portfolio Management Formulas
- 1990 — optimal f introduced
- The Mathematics of Money Management
- 1992 — the standard reference
- The New Money Management
- 1995
- The Handbook of Portfolio Mathematics
- 2007 — drawdown as the risk metric
- The Leverage Space Trading Model
- 2009 — growth-optimal within a drawdown constraint
- Risk-Opportunity Analysis
- 2012
- Core constructs
- Optimal f · geometric mean maximisation · leverage space · risk of ruin
Vince is not a fund manager and has never claimed to be. He is a programmer who writes analytical software for funds, large traders and professional gamblers, and the gambling half of that client list is the tell — the mathematics of how much to bet, given an edge, is the same problem whether the edge comes from a market or a table. He arrived at trading through that door rather than through a trading floor.
The 1990 and 1992 books put optimal f into the retail vocabulary. The result is uncomfortable and correct: for any distribution of outcomes there is a single fraction of capital that maximises geometric growth, it is computable, and both under-betting and over-betting it cost you. Over-betting costs you catastrophically. The corollary — that two traders taking identical signals can produce a compounding machine and a smoking crater purely through sizing — is the most important idea in the retail money-management canon and remains the least acted on.
The part most readers stop before reaching is that Vince himself moved on. By the 2007 and 2009 books the risk metric had shifted from variance to drawdown, and the framing had become explicitly constrained: find the growth-optimal allocation subject to a drawdown limit you can actually tolerate. He argued that unconstrained geometric maximisation, while mathematically correct, describes an investor nobody actually is. That later Vince — drawdown-constrained rather than growth-maximising — is the one MARS is built on, and the distinction matters more than any other line in this dossier.
The framework
The idea underneath the method.
Not the trades — the reasoning that decides which trades are permitted, at what size, and when they stop.
Sizing is a strategy variable, not an afterthought
The founding argument, and it survives every later revision. Analysis produces a stream of outcomes; sizing converts that stream into an equity curve. Two operators with the same signals, the same entries and the same exits will not have the same result, the same drawdown, or the same probability of surviving the year, and the only thing separating them is the fraction of capital committed per trade. Treating that fraction as a matter of comfort rather than computation is the largest unpriced decision most traders make.
There is an optimum, and it cuts both ways
Optimal f is the fraction that maximises the geometric mean of returns for a given outcome distribution. The curve around it is not symmetric. Bet meaningfully below the optimum and you give up growth — a real cost, slowly paid. Bet meaningfully above it and the geometric mean falls off a cliff, and past a certain point the expected terminal wealth of a positive-expectancy system goes to zero. The arithmetic mean stays positive the whole way down. This is the single most counter-intuitive result in the field: a system with a genuine edge, sized aggressively enough, is a losing business.
The drawdown constraint is the real problem
The later work's central move. Growth-optimal sizing produces drawdowns that are mathematically survivable and psychologically not — the optimum for a typical trading distribution routinely implies peak-to-trough declines that no human operator and no client relationship endures. So the honest formulation is not 'what maximises growth' but 'what maximises growth subject to a drawdown ceiling I will not breach'. Once drawdown is the binding constraint rather than an output, the whole allocation problem changes shape.
Ruin is a price, and it should be quoted
Risk of ruin is treated as a number to be computed and traded against, not a vague hazard. Every increment of leverage buys growth and sells survival probability, and the exchange rate is calculable from the outcome distribution. A sizing scheme that does not state its ruin probability has not been evaluated, only chosen.
Mechanics
How it actually runs.
The operating detail, stated the way a reference describes a technique.
Input
The empirical distribution of trade outcomes — not a win rate and an average, but the full set of results including the worst one.
The worst case anchors it
Optimal f is computed relative to the largest losing outcome in the sample, which is why the figure is unstable on small samples and why a new worst trade rewrites it.
Output
A fraction of capital per unit of risk, from which position size follows mechanically.
Drawdown constraint
In the later model, the allocation is solved within a stated maximum drawdown rather than maximising growth unconditionally.
Portfolio dimension
Leverage space extends the problem to multiple simultaneous market systems, where the joint distribution — not each system alone — determines the allocation.
Honest limitation
Every output depends on the sampled distribution being representative of the future one. Vince is explicit about this; most people quoting optimal f are not.
Divergence
Where MARS does something else.
Listed first, and at length, because a mapping that only claims similarity is a poster. Some of these are scale limits; at least one on every dossier is a deliberate refusal.
Continuous fraction versus discrete ladder
Ralph Vince
A computed fraction of capital, recalculated as the outcome distribution updates. Continuous, precise, and sensitive to the worst trade in the sample.
MARS
A seven-tier discrete ladder with fixed per-trade averages inside each tier. Coarser on purpose: a tier is legible, auditable and cannot drift a decimal at a time, and it does not get rewritten by one bad trade.
What sets the level
Ralph Vince
The outcome distribution sets the fraction. Capital state enters only through the drawdown constraint in the later model.
MARS
Drawdown from peak routes the tier directly. The gate reads one objective number and sets a ceiling, and expectancy cannot lift it. Evidence informs; capital state decides.
Aggression
Ralph Vince
Optimal f, taken literally, is far more aggressive than almost any operator can hold. Vince says so himself — it is the reason for the later constrained framing.
MARS
Explicitly rejects the unconstrained optimum. The ladder's ceiling exists to make the aggressive branch of the geometric curve unreachable rather than merely inadvisable.
Portfolio joint distribution
Ralph Vince
Leverage space solves allocation across correlated market systems simultaneously, using the joint distribution.
MARS
The exposure pool sums gross and does not model correlation — stated as an honest limit on the site. It errs toward forgone deployment, never toward hidden leverage.
Replication
What the rail carries over.
Each mapping names the module that performs the function, so the claim can be checked against the product rather than taken on trust.
Sizing as a first-class object
Throttle Control Panel
The Throttle exists because of the argument in Vince's first two books. Position size is not derived at the end of a trade plan; it is the output of a dedicated panel with its own inputs, its own authority and its own governance. Every deployment figure in MARS comes from there, and no other layer may raise it.
The drawdown constraint, made structural
The gate ladder · drawdown routing
This is the deepest borrowing and it comes from late Vince, not early. The seven-tier ladder is a growth-within-a-drawdown-ceiling scheme implemented as discrete states: as drawdown from peak deepens, the ceiling falls, mechanically and without negotiation. Vince argued the constraint should bind. MARS makes it bind by construction, which is the same idea with the discretion removed.
Ruin priced by simulation
Monte Carlo Lab · Dynamic 7-Tier Benchmark
Where Vince computes ruin analytically from the outcome distribution, MARS resamples it. The Monte Carlo layer produces the distribution of drawdowns and terminal outcomes a given deployment profile implies, and the seven-tier benchmark states what each tier is expected to look like. Different mathematics, identical purpose: quote the survival price before paying it.
The geometric framing
Risk & Equity Accelerator · compounding geometry
MARS reasons in R multiples and compounding terms rather than in per-trade currency, which is Vince's frame. The accelerator metrics ask whether risk is converting into equity growth efficiently — a geometric question, not an arithmetic one.
Integration rate
Scored, with the shortfall shown.
Each dimension is judged separately and the headline is their mean — recomputed at render, so it cannot be hand-set. Every dossier in this library carries at least one dimension below 35%. Four uniformly high scores would be marketing.
Integration rate
What MARS actually reproduces
Throttle Control Panel — the 7-tier deployment ladder
67%
mean of 5 dimensions
Sizing as a strategy variable
95%
A dedicated panel with its own authority — the whole premise of the Throttle
Drawdown as the binding constraint
90%
The gate ladder is late Vince implemented as discrete, non-negotiable states
Geometric growth framing
70%
R multiples and compounding, but no explicit geometric-mean maximisation step
Risk of ruin priced explicitly
65%
Resampled by the Monte Carlo Lab rather than computed analytically from the distribution
Optimal f / continuous fractional sizing
15%
Deliberately rejected — the discrete ladder exists to make the aggressive branch unreachable
Why it is not higher
The 15 is a doctrinal refusal rather than a gap. MARS does not implement optimal f and will not: the figure is anchored on the worst trade in the sample, so it is unstable on retail sample sizes, and its unconstrained form implies drawdowns that end trading careers. The system takes Vince's problem statement and his later constrained answer, and declines his most famous formula.
Instrument 04 / 04
The result, in one control.
Vince's central claim is that the same sequence sized two ways is two different businesses. It is easier to believe after you have moved the slider yourself.
Instrument 04 / 04
Optimal-f versus the 7-tier throttle
One outcome sequence, two sizing regimes. The unconstrained fraction compounds without authority; the throttle routes the same fraction through drawdown. Move the risk slider until the two diverge.
Expectancy per trade
+0.35R
Unchanged by either slider below it. The edge is identical in both regimes — only the sizing differs.
Unconstrained — terminal
5867
max drawdown -46.7% · started at 100
Throttled — terminal
1085
max drawdown -28.5% · 0 trades at System Lock
Below the optimum the unconstrained curve wins, and the throttle's ceiling is a real cost paid in forgone growth. That cost is the premium. Raise the risk slider and watch what it buys.
Demonstration of a sizing property, not a backtest. Both curves run the same fixed synthetic sequence generated from the inputs above with a constant seed. It is not a MARS track record, contains no market data, and is not a comparison against any individual's performance.
This runs one fixed sequence at one fraction. The Throttle solves the same problem against your live cycle pool, open exposure and tier ceiling — The Throttle Control Panel →
Open the full Foundry Lab sandbox ↗Computed locally in your browser. Nothing is uploaded.
Ralph Vince built the governance function privately, because nothing off the shelf existed to buy. So did every other trader in this library. That private apparatus — the constraint stack, the sizing authority, the rule about when to stop — is the part that never gets published, and it is the part that separates a documented edge from a surviving account.
The claim on this page is not that MARS outperforms anyone. It is narrower and considerably more useful: their method is public, their apparatus was not, and this is the apparatus — at a scale one person can actually run.
Sealed · nearest neighbours
Three dossiers sit next to Vince's.
These mappings are not in the bundle and not rendered anywhere on this site. They are the closest methodological neighbours to the dossier you have just read — which is precisely why they are the ones held back.
Eleven dossiers remain sealed, each at this depth — the framework, the record, the divergences, and the integration rate with its shortfall shown. Waitlist registration unlocks all fifteen.
Join the waitlist — unlock all 15Also declassified
The other three open dossiers.
Sources and standing notice
Ralph Vince has no affiliation with Aura Logic Systems or the Montex AlphaRail System, and nothing on this page constitutes an endorsement. This dossier summarises publicly documented method and publicly reported career facts, in the way a reference work describes a technique. It contains no quotations. Performance figures are as reported by the sources listed below, are historical, and are not audited by us; past performance of any trader, fund or method does not indicate future results. Nothing here is investment advice.
The doctrine, made executable.
Eleven governed modules that turn documented method into arithmetic you can actually run.