Sounds like your implemented a poor-man's arima model. Anyway, getting an estimation is not terribly hard - a few lines of matlab; the problem is exactly what you can do about it - naively changing your strategy around so that that number gets smaller is actually a rather dangerous thing to do.
What most haven't figured out is that the mean you start out with usually isn't the mean you end up with.
If there's one overrated concept here, it isn't expectancy, it's win rate. You're trying to shoehorn casino math into the trading world.
With all due respect, that's not math, that's physics. I doubt even the guys at Nuclear Phynance can make a trading app out of it.
Thanks. My first question is whether it is posisble to have a non-certain risk of ruin with win probability of 50%.
Ur... without context, it's nothing other than some scribbling... (though, I guess you could argue it's a factor used to normalize against dispersion... )
It has context, and is recognized worldwide as Maxwell's calculation for the speed of light. If I had quoted, say, a Latin phrase, would you still talk about "scribbling without context"? Here's some more "scribbling": Neko ni koban
http://www.elitetrader.com/vb/showthread.php?s=&threadid=229386 this thread really can't be taken seriously, can it. My point was we are approaching the speed of light in terms of latency, how much would it cost to colocate with a proven scalable strategy or what are all these programmers really working on better moving average crossovers?
different word of math. even the 5 years old can solve the math. fibonacci numbers> i dont want to use that. i only use math, rules and price action in my trade. i will show you my trade. hows math work in my system sorry no english much..