Daytrader quiz

[earth_imperator]

With options trading (especially with options spreads) one can in advance limit the VaR exactly (or approximately) as one wishes, ie. limiting the possible loss.
Let's say you are a daytrader, and each month has 21 trading days. If you make every 2nd trading day on average 1.50% profit from your current account value, but then lose on average 1.00% the following trading day, then how much will your PnL% be in a year?
Let's say the very first day is a win day.

 

[easymon1]

If you make every 2nd trading day on average 1.50% profit from your current account value, but then lose on average 1.00% the following trading day, then how much will your PnL% be in a year?

What percent does the above scenario calculate out to in terms of daily yield then plug that into this formula.
https://elitetrader.com/et/threads/...t-right-here-baby.335635/page-25#post-5537130

 

[Sekiyo]

Theoretically
3.38463378643

Here's a Monte Carlo Simulation

 

[earth_imperator]

Theoretically
3.38463378643

That's wrong.
One can compute it exactly, for example by simply iterating over all the 12 months,
or as @easymon1 said, by using a formula (in this case one can say a period is 2 days, and do accordingly...)

 

[easymon1]

how much will your PnL% be in a year?

That looks like a question for chatgpt.

 

[earth_imperator]

That looks like a question for chatgpt.

Just go and feed it and let us know

 

[easymon1]

Just go and feed it and let us know

That would be a do it yourself my friend.

 

[earth_imperator]

That would be a do it yourself my friend.

I hadn't the pleasure yet with that AI ass

 

[earth_imperator]

I'm getting 113.67%

 

[Sekiyo]

That's wrong.
One can compute it exactly, for example by simply iterating over all the 12 months,
or as @easymon1 said, by using a formula (in this case one can say a period is 2 days, and do accordingly...)

Not sure if you win 1/2 (S1) or 2/3 (S2) of the time.
"If you make every 2nd trading day"

Monte Carlo is based on S1