Thanks for the proposal. I want 10 000 flips, generate them, record them and upload them somewhere. I don't care whether I'm heads or tails, actually I let Martinghoul choose if he's heads or tails after he sees the 10 000 coin flips.
This is a method of reversion to the mean. It was discussed briefly in the book: Fortune's Formula and attributed to Claude Shannon (though the concept has been kicked around for centuries). This concept has also been used in other books such as Lichello's A.I.M. where the example is a stock that goes from 10 to 5 to 20 back to ten and over again. Works great and we would all be millionaires except for the problem of finding an instrument that actually fluctuates like that often enough to make significant profits. And if it only drifts one-way, well that's a major problem for a mean reversion method. Joe. Edit: typo
Thank you very much. There are 5023 heads and 4977 tails. I give Martinghoul advantage and choose tails for me. My starting bankroll is $0.01. I "tie up" half of it on each flip and win 2*"tied up capital" when the coin is tails, and lose "tied up capital"/2 when the coin is heads. On the 521 flip my bankroll is $74763066129 and then it becomes too much for me I let Martinghoul choose how much he owes me http://docs.google.com/fileview?id=...jMtYjk2ZC00ZTMwLWE0YzYtZmM1NzM2MDc5NDhl&hl=en
Hahaha, let's not count our chickens yet, shall we? Lemme ask you now a slightly personal question, sambian. How much are you worth, in total? Also, you'll have to forgive me, 'cause I might have to leave soon. It's getting late here. However, I promise to return tomorrow, as this turned out to be a pretty nice conundrum after all.
I am worthless piece of shit This can be your consolation How much are you worth, in total? This should be the more important question, since you owe me money
I would like to take a look at this book, but can't (for now). Can you tell us more about what is written there, did it mention that the Kelly bet is to buy with half of the capital? Note that my system does not require that the price is mean reverting. The price follows a random walk and can get anywhere.
It's a serious question. I am not trying to insult you or make fun of you or anything of the sort, sambian. I am trying to illustrate a point.
So this is Wealth (t+1)=Wealth (t)*1.5 if "tails" Wealth (t+1)=Wealth (t)*0.75 if "heads" The good point is that 1.5*0.75=1.125. Hence a down movement followed by an up movement or an up movement followed by a down movement make finally a rise of 12.5%. It's a good starting point.