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When the broker goes bust, prob(ruin)->1 immediately even when T is small... It is not complicated at all. The rest are just trival problems.

Notice how you never got a response, my friend. That's because math cranks are real good at challenging mathematical claims by others, regardless of evidence, and really bad at defending their own mathematical claims. [/B] Yes, all the brain power to articulate mathematical insults could be...

Interesting...if you have 8 consecutive losses straightaway, your prob(ruin) changes from 0.04 to 0.9999 in the next 100 tosses? What if you have only 4 consecutive losses that brings you to $6(point of capital path), what is the change in prob(ruin) for the next 100 tosses?

Ideally if it is always trending smoothly, there isnt much need to trade & pay comission http://www.elitetrader.com/vb/showthread.php?threadid=231347 but market behaviour changes frequently which is why performance continuity & price action are different topics which some cannot...

Bingo.

Is sharpe ratio that good ... Is a trader with only 2%return,1%stddev as good as one with 20%return,10%stddev? The first one is just playing it safe. I prefer performance index = %return X (1-%maxstdev) X no.of trades Ratios can be ambiguous.

When do you take profit for divergent approach, ratio chart touching bbands could become a trending channel?:confused:

You can try that experiment yourself.:) Point was, if the prob(m consecutive H or T) increases with sample size, just like prob(ruin)->1 as trials approaches infinity, what is optimal Nth trial to halt? Basic cases of prob(for m=2 & 3) changes as no. of trials increases, i.e.1-prob(formula...

Consecutive losing or winning trades occur when trading systems designed to perform individually better in different market conditions(e.g, trending,ranging,breakouts) encounters one or the other, not to be confused with financial price trends in general. The goal is to find optimal N to...

Now we know where "billions of dollars" in the financial world has been misplaced. You got Financial price trends,fixed roulette no. bet and system optimisation/evaluation all mixed up. Just like beer & other alcoholic drinks, they are not drunk mixed even they all contain alcohol.

Professional traders/gamblers who deal with real $ know that this is not the case because streak of losses or winners always have a tendency to cluster together. It is for this reason that progressions(e.g,martingales) will not only fail but happens frequently. Since ROR is current balance$ path...

How positive must expectation be for risk of ruin to be 50% or less?

Looks logical. For coin toss or 50-50 system, If I set d=1/4, and 100% prob. of drawdown, => C/U=4. i.e. If I do not want drawdown above 25%, for equal sized bet U, Stop betting when there are 4 consecutive? losses. Is C/U just no. of losses or nonstop losses? Why is U fixed, not user...

I know but I am not picky on exact figures as long as I can roughly gauge which combos of inputs leads to total ruin... total ruin is still total ruin. Anyway, that is not the main objective which is to find something that describes the effects of consecutive/string of non-stop losses with bet...

Please include major indices,currency etfs such as dia,spy,fxe,fxb,fxa,fxy,fxc,etc. Thanks.

Very nice :)

It is just a non-exact MC simulation so if it is > 100%, it means total ruin is assured(for the figures you stated). Before even talking about progress, improvise some flexible common sense.

http://www.automated-trading-system.com/wp-content/uploads/2010/05/RiskRuinFormula1.png However, if we solely consider Kaufmann improved ROR, it does include 'ruin level' in the formula as shown above. If we equate this ROR formula to the one you gave, we will have all N, U & ruin...

They claim its a combination of MC + kaufmann improved ROR formula at bottom of that webpage...cannot reconstruct/arrange in this case:eek:

Good, Thanks. Is there an optimal Nstop? I guess that could be where loss level% ~ 25% because at loss level=50%, it takes 100% recovery to bring back C to Cstart. i.e. From loss level > 25% onwards, it becomes increasingly hard to recover. Maybe Uoptimal is also found likewise?