When the broker goes bust, prob(ruin)->1 immediately even when T is small... It is not complicated at all. The rest are just trival problems.
Notice how you never got a response, my friend. That's because math cranks are real good at challenging mathematical claims by others, regardless...
Interesting...if you have 8 consecutive losses straightaway, your prob(ruin) changes from 0.04 to 0.9999 in the next 100 tosses? What if you have...
Ideally if it is always trending smoothly, there isnt much need to trade & pay comission...
Bingo.
Is sharpe ratio that good ... Is a trader with only 2%return,1%stddev as good as one with 20%return,10%stddev? The first one is just playing it...
When do you take profit for divergent approach, ratio chart touching bbands could become a trending channel?:confused:
You can try that experiment yourself.:) Point was, if the prob(m consecutive H or T) increases with sample size, just like prob(ruin)->1 as...
Consecutive losing or winning trades occur when trading systems designed to perform individually better in different market conditions(e.g,...
Now we know where "billions of dollars" in the financial world has been misplaced. You got Financial price trends,fixed roulette no. bet and...
Professional traders/gamblers who deal with real $ know that this is not the case because streak of losses or winners always have a tendency to...
How positive must expectation be for risk of ruin to be 50% or less?
Looks logical. For coin toss or 50-50 system, If I set d=1/4, and 100% prob. of drawdown, => C/U=4. i.e. If I do not want drawdown above 25%,...
I know but I am not picky on exact figures as long as I can roughly gauge which combos of inputs leads to total ruin... total ruin is still total...
Please include major indices,currency etfs such as dia,spy,fxe,fxb,fxa,fxy,fxc,etc. Thanks.
Very nice :)
It is just a non-exact MC simulation so if it is > 100%, it means total ruin is assured(for the figures you stated). Before even talking about...
http://www.automated-trading-system.com/wp-content/uploads/2010/05/RiskRuinFormula1.png However, if we solely consider Kaufmann improved ROR,...
They claim its a combination of MC + kaufmann improved ROR formula at bottom of that webpage...cannot reconstruct/arrange in this case:eek:
Good, Thanks. Is there an optimal Nstop? I guess that could be where loss level% ~ 25% because at loss level=50%, it takes 100% recovery to bring...
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