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http://www.utexas.edu/student/cmhc/RelaxationTape/

This kind of returns is not very uncommon also for some European exchanges (bull market) plus you have a lower currency risk as the quotes are in Euros. For example the 1- year charts for 4 of the biggest cap stocks in the Athens stock exchange. a bank a telecom an oil comp...

For moderate skew and kurtosis values you can try the Corrado-Su model. See attached excel file. Regards

Realy? I have never heard it. :D

Good day dummy-variable This is not possible. Either the trades had positive expectancy from the beginning or else you can’t make a positive expectancy position with negative expectancy trades. These facts are already priced when you bought the call. This is possible but...

No offence riskarb but you are answering to another question. No one claimed that expectancy isn’t model dependent. Most people just argued that is impossible to increase the expectancy of a position by adding zero expectancy trades. I think this is a very simple concept. Expectancy is an...

By adding to your initial position 'after' the favorable move you don't change the expectancy of the trade. The expectancy 'after' the favorable move is already positive. What you change is your payoff distribution. You are making the small payoff more certain by sacrificing some of the upside...

Not possible. The only thing close to it is Parrondo's Paradox. seneca.fis.ucm.es/parr/GAMES/Paradox%20in%20Game%20Theory%20Losing%20Strategy%20That%20Wins.htm

:) I searched a little my e-library and I found this. Hope it will help you. (Odds level = probability that the contract will expire ITM).

Excuse me for interfering into your conversation but if someone wants to define mathematically if a market is trending why not just calculate volatility using a shorter and longer time interval. For example the fact that: Annualized Volatility using daily data = 18% Annualized Volatility...

Not exactly. When you try to figure a 20% barrier the tails of the distribution doesn’t come into play. Even with big skewness and kurtosis the barrier remains practically the same. So it comes down to what you are looking for. Of course if you want to figure out the 1/1000 event barrier...

No, the formulas are working fine both in excel and in any basic compiler. In the zip file I have the implementation exe compiled with FreeBasic compiler together with source code. What error messages did you get?

I hope this will help you …

The model assumes that the stock price S follows a geometric Brownian motion dS/S=m*dt + s*dz, and snorm is the cumulative normal distribution function (implemented by a known polynomial approximation). Regards

Also this is the basic code implementation of the formulas.... Regards Function snorm(z As Double) as double Dim pi as double pi=3.14159265358979 Dim a1 as double,a2 as double,a3 as double,a4 as double,a5 as double,k as double,w as double a1 = 0.31938153 a2 =...

Probability formulas in the attached pdf file...