Expectancy is an overrated, hyped-up concept. You only know the true expectancy after the fact. I would like to challenge the math gurus for an equation that gives the probability of risk of ruin as a function of trade risk for a given bankroll and win rate. Now, this is math. This is trading. This is something useful. But not approximations please. Closed form solutions only. Let's do some real trading math. Not useless expectancy type of things.
There's no analytical solution to that question except in the case of single, normal returns - which is almost never useful for the person actually asking the question. It can be estimated through monte carlo simulations, however.
I think you should... or, if you find a closed form solution to the maximum deviation problem (which your risk of ruin essential is) for non-trivial cases, please let me know - because simulations does have that unfortunate problem of taking a while...
I suspect you are right... but then, no one ever went broke by underestimating the intelligence of the average ET poster... (it had also occurred to me that intradaybill also posts on a slightly more math literate forum)
I think intradaybill had a very legit question, however, there is no straight answer to it. I have a few papers written on the subject and, believe me, it is not an easy topic. I approached it from the RW stand point of view with the volatility modulated steps and variable BIAS (probability of the step up vs down). I had some useful revelations, however, it is much more complex than that if one wants to have something practical. Cheers, MAESTRO