Why are you not willing to put up more? Doesn't that imply that the expected value of this game isn't quite what it seems?Quote from sambian:
I'm willing to put up $0.01 to play the game. You already owe me the net worth of Bill Gates + Warren Buffet, so you are the one who is leveraged
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A truly riskless system?
- Thread starter MathAndLogic
- Start date
Because I'm worried about your financial health. You should thank me for that.Quote from Martinghoul:
Why are you not willing to put up more?
The expected value is 0, as you already showed us. The fact that you owe me such large sum of money is due to pure luck.Quote from Martinghoul:
Doesn't that imply that the expected value of this game isn't quite what it seems?
However, maybe you already have a new (fifth?) explanation for the "fallacy" of my system. Maybe you thought out new formulas for calculating expected values?
If you're referring to the raw coin flip game, you're right. However, sambian's strategy structures it further using the Kelly bit, the parameters of which he can tweak at will. That makes sure he doesn't get into the whole "gambler's suicide" trap.Quote from asiaprop:
I beg to disagree at this point: The strategy will not outperform if the trend is persistent. It all comes down to the matter of how mean reverting a process is. Even in the coin toss if there is a series of one sided outcomes long enough that strategy goes broke no matter what.
Isnt that what most traders on wall street actually do, including volatility traders. Some sell the wings just long enough until they go broke. Then you get your ass fired, wipe yourself clean and start with a clean slate. I dont see where the magic is. Nobody lets you get to a drawdown of 70, let alone 90-100%, and I would claim even those with the biggest balls of steel dont have the stomach to manage such strategy once you are in such trend against you.
I have already admitted in an earlier post that I was wrong and apologized. This is an interesting subject and I am trying to help myself understand it. If you don't want to, it's fine with me.Quote from sambian:
Because I'm worried about your financial health. You should thank me for that.
The expected value is 0, as you already showed us. The fact that you owe me such large sum of money is due to pure luck.
However, maybe you already have a new (fifth?) explanation for the "fallacy" of my system. Maybe you thought out new formulas for calculating expected values?
this only ensures his bet size is altered after each discrete time step which does not prevent him from losing more when trends really go against him. It does not happen often, obviously, but it does thats why LTCM went bust, thats why 100 year old investment banks in 2008 went bust, thats why numerous smart (smart in the sense to maximize their own benefits not the ones of their employers) traders get fired each year and re-hired elsewhere.
I admit I did not read a lot of posts in between this thread and also did not bother much with his doc links, i guess thats why I am on his ignore, but the point is if an asset trades persistently against you (which may be the one path out of your 1,000,000+ random walk ones) you are either fully hedged in which case you dont lose or make anything (which I think is not the point here) or you have exposure and in this case you lose more than you make no matter which notional you employ. All you are hoping is a reversion.
How long do you stay in the game, when do you reset and move on, many unanswered questions which hugely impact your bottom line. Thats why your question about wage size was very relevant.
I admit I did not read a lot of posts in between this thread and also did not bother much with his doc links, i guess thats why I am on his ignore, but the point is if an asset trades persistently against you (which may be the one path out of your 1,000,000+ random walk ones) you are either fully hedged in which case you dont lose or make anything (which I think is not the point here) or you have exposure and in this case you lose more than you make no matter which notional you employ. All you are hoping is a reversion.
How long do you stay in the game, when do you reset and move on, many unanswered questions which hugely impact your bottom line. Thats why your question about wage size was very relevant.
Quote from Martinghoul:
If you're referring to the raw coin flip game, you're right. However, sambian's strategy structures it further using the Kelly bit, the parameters of which he can tweak at will. That makes sure he doesn't get into the whole "gambler's suicide" trap.