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Potentially, sure.

Any interviewer that DOESN'T understand that is an indication the firm is too stupid to work for.

This sounds right.

This goes to what I was saying earlier - clearly the last bet of a sequence like this should be against your "life roll", not your immediate cash in hand. But the first bet of a long sequence should be on cash in hand since it alters the value of the subsequent bets. For bets close to the end...

It seems like we'd be better off if more shorting activity in "difficult" circumstances where borrow isn't plentiful moved to SSF. Then this crap goes away.

What time frame of data and what instruments?

That looks like what I expected - our old solution, plus a bunch of what appear to be equivalent ones all with the same score. And I think that concludes that - thanks for what's probably the most interesting thread I've seen on ET, well, ever.

Disagree. R-14 and R-16 are potential red bets too. Not singles, but they have to be covered to synthesize Red.

I'll take a run at it tonight. I can't see anything wrong with the equivalent math though so I'll be amazed if the solver shows a preference.

I'm pretty sure how red is handled is a tossup. I believe placing 1 unit on Red is exactly equivalent to placing 1/18th unit on the 18 various red-# bets. In both cases you win exactly 1 unit if any of 23 spaces hit. The same identity doesn't hold for black because there's only 13 black sbets...

I THINK we will see both of those at zero. Betting on each black # is strictly cheaper than bettering 1 unit on black and gives the same effect. So that's a strictly better-than expectation wise thing. I think a similar but more complicated argument can be constructed for the individual...

Another weird observation: the Kelly de-rating process (where you divide all bets by a factor in the 1-10 range to smooth out the equity curve) is clearly wrong when there's an arb in the mix. Then you should reduce only the risky part and then buy MORE arb with the money freed up. I wonder...

Not sure that's right. My math says a Log10 increase per spin of 0.142... so 1.42... for 10 spins which is 10^1.42... = 26.63 multiplier.

Incidentally, I confirm nonlinear5's results via Excel's solver. And I definitely just fell out of love with the Excel solver. It couldn't optimize a by-hand sum of numbers, but when the same numbers were added via the internal SUM() function it suddenly got its shit together. Also, one of...

I suggested earlier that the winner could easily be a blend of the pure arbitrage and the higher expectation non-arbitrage. That's what we got. Not surprising IMO.

You didn't say anything about not borrowing either. If I'm in a casino with a pure arbitrage in front of me, and I can't borrow against it, then I'm the world's worst salesman. That said, it's a more interesting question mathematically without borrow. And the above solution has the right...

I wish. I probably won't play a hand until the July 4th week. I'm hoping to go out to Vegas and play 80/160 LHE or whatever big stud I can find the days leading up to the WSOP main event.

Yeah, the more I think about it I think you can bunch the "total amount bet on black/green" into one term since they're obviously symmetrical. It won't be as much of a PITA as I was thinking. One interesting thought: initially I was very concerned about "what bankroll?" - clearly the first bet...

Probably not - it's possible here because the various strategies are a) complete (you can bet on every possible outcome) b) net positive expectation In the real world those two are unlikely to coexist in a portfolio of strategies that aren't specifically the legs of an arb. There is still an...

If you were allowed to borrow money to make the bets (ie. sum of the bets > 1000 was OK as long as max loss was < 1000) then I think there's no unique solution. For example, a layout of 1 unit on all black and green numbers (14 spaces/units total) and 15 on red would be profitable for all...