I learned about risk of ruin by marrying an ex hooker, thought I was going to save a few bucks by deactivating her career and keeping it personal. Comfy little static formulas aren't going to work in all conditions or mkts, eventually common sense has to rule the bet size in any given mkt. context.
Had you bothered to put things into a spreadsheet as I suggested, you would have seen that PP stays constant. I'm sorry, but as much as I've tried, I still don't understand your problem with the RoR formula. It is complicated enough as it is - I find that breaking it down into its components is the only way to come to any sort of understanding. It's been a year since I wrote. Either Kaufman's an arrogant prick or I'm a stupid one. (Or both.)
The definition of risk of ruin is nothing arbitrary and exists since prob has been "invented" with Pascal. There are two variants as far as I know: - the first is to suppose an initial capital (account) for the player and the banker - the second is to suppose an initial capital (same as above) and a capital objective which plays the equivalent role to the banker's account. In my prob faqs I didn't precise that it is the second variant that I gave : http://www.econometric-wave.com/faqs/probability/home.html.html#Q_what_is_the_probability_of_ruin The faqs is not finished yet. I only gave the basic case, but it is necessary to understand the basic case before the more general case (if you wana risk Maxrisk of your account it's just substitution of K0 by 1/Maxrisk, if win/loss is not symetrical then Z = winpct / 100 * ( AvgWin) - ( 1 - winpct /100 ) * abs( AvgLoss); the average win/loss should be considered). When I will have time I will complete the FAQs.
I have an idea I will create a "gambler's adventure" for learning about money management (I will profit from the same engine than the wizard engine for my model http://www.elitetrader.com/vb/showthread.php?s=&threadid=28344&perpage=6&pagenumber=2). I will use the personnages I've posted already: Disciplex Simplex and Laius Complexius: an economic, financial and gambling fairy tale Here's a list of a few main characters : - Laius Complexius : a Scottish Lord who dilapidated his whole fortune for gambling and women and when ruined had to find some alternatives. The character and life will be inspired from famous John Law: after killing a man in a fight he will find refuge in France and will be introduced to the King. - Disciplex Simplex: his companion, completely illiterate and often treated as an idiot by his master whereas he is full of common sense. It is him who will play the role of the Candid man. - Grand' Gabelle: the King of France, well reknowned for his fiscal injustice, his name comes from the Gabelle Tax paid in Salt since the 13th century. After a devastating and ruining war with England, he has also to find some alternatives for restauring the Finance of the Kingdom and so Laius Complexius will come to him as personified Providence. - Cardinal Beastie: the Chief Minister of France . The people hate him more than the King as he appears to be the effective ruler and because he was more and more taxing the peasants while the nobles - like himself - didn't have to pay it. At the arrival of Laïus Complexius his power will have to diminish and the two men will have to fight each other one to conquest it, the other to keep it. - Robin of Nuts: A noble whose father was former Minister of the King but unhappily executed after Cardinal Beastie plotted against their family by accusing his father of being a treator by making some compromises with England. Before the disgrace he was in love with the the daughter of King of France. - Bella Angelina: the daughter of King of France. Although Robin of Nuts has been degraded from his nobility, she still wants secretly that one day he will prove the innocence of his father and so will recover his legitimacy and confiscated assets.
hi,Mr Subliminal.i've put them into sheet,and after i saw ur pic,i tried increasing the investment,the Risk of Ruin dropped sharply,but......as the Maxrisk is the maximum of investment's loss,when investment increases,with Maxrisk be constant,the money that lost is bigger,i still don't understand why the Risk of Ruin should drop, in comon sense,the bigger the loss,the bigger the risk is,at least,it shouldn't be smaller. the data is as following
hehe£¬harrytrader£¬ur plan is a very great idea i am very intersted in it,could u tell me when will u finish it?
A gambler for sure Here's his true life: http://www.litrix.com/madraven/madne002.htm He was very young, very vain, good-looking, tolerably rich, and quite uncontrolled. It is no wonder that, on his arrival in the capital, he should launch out into extravagance. He soon became a regular frequenter of the gaming-houses, and by pursuing a certain plan, based upon some abstruse calculation of chances, he contrived to gain considerable sums. All the gamblers envied him his luck, and many made it a point to watch his play, and stake their money on the same chances. In affairs of gallantry he was equally fortunate; ladies of the first rank smiled graciously upon the handsome Scotchman -- the young, the rich, the witty, and the obliging. But all these successes only paved the way for reverses. After he had been for nine years exposed to the dangerous attractions of the gay life he was leading, he became an irrecoverable gambler. As his love of play increased in violence, it diminished in prudence. Great losses were only to be repaired by still greater ventures, and one unhappy day he lost more than he could repay without mortgaging his family estate. To that step he was driven at last. At the same time his gallantry brought him into trouble. A love affair, or slight flirtation, with a lady of the name of Villiers [Miss Elizabeth Villiers, afterwards Countess of Orkney] exposed him to the resentment of a Mr. Wilson, by whom he was challenged to fight a duel. Law accepted, and had the ill fortune to shoot his antagonist dead upon the spot. He was arrested the same day, and brought to trial for murder by the relatives of Mr. Wilson. He was afterwards found guilty, and sentenced to death. The sentence was commuted to a fine, upon the ground that the offence only amounted to manslaughter. An appeal being lodged by a brother of the deceased, Law was detained in the King's Bench, whence, by some means or other, which he never explained, he contrived to escape; and an action being instituted against the sheriffs, he was advertised in the Gazette, and a reward offered for his apprehension. He was described as "Captain John Law, a Scotchman, aged twenty-six; a very tall, black, lean man; well shaped, above six feet high, with large pockholes in his face; big nosed, and speaking broad and loud." As this was rather a caricature than a description of him, it has been supposed that it was drawn up with a view to favour his escape. He succeeded in reaching the Continent, where he travelled for three years, and devoted much of his attention to the monetary and banking affairs of the countries through which he passed. He stayed a few months in Amsterdam, and speculated to some extent in the funds. His mornings were devoted to the study of finance and the principles of trade, and his evenings to the gaming-house.