its all about pure math

intradaybill · Oct 31, 2011

Quote from Crispy:

Its completely relevent. In fact my model adjusts for it. sometimes it breaks, most times it works. Ala my belief in expectancy being the most important factor.

Expectancy is an overrated, hyped-up concept. You only know the true expectancy after the fact.

I would like to challenge the math gurus for an equation that gives the probability of risk of ruin as a function of trade risk for a given bankroll and win rate.

Now, this is math. This is trading. This is something useful.

But not approximations please. Closed form solutions only.

Let's do some real trading math. Not useless expectancy type of things.

DontMissTheBus · Oct 31, 2011

There's no analytical solution to that question except in the case of single, normal returns - which is almost never useful for the person actually asking the question.

It can be estimated through monte carlo simulations, however.

Quote from intradaybill:

I would like to challenge the math gurus for an equation that gives the probability of risk of ruin as a function of trade risk for a given bankroll and win rate.

atticus · Oct 31, 2011

This thread is useless without titty pics.

intradaybill · Oct 31, 2011

Quote from DontMissTheBus:

There's no analytical solution to that question except in the case of single, normal returns - which is almost never useful for the person actually asking the question.

It can be estimated through monte carlo simulations, however.

I like your math.

Should I take your word for it?

DontMissTheBus · Oct 31, 2011

I think you should... or, if you find a closed form solution to the maximum deviation problem (which your risk of ruin essential is) for non-trivial cases, please let me know - because simulations does have that unfortunate problem of taking a while...

Quote from intradaybill:

I like your math. Should I take your word for it?

Banjo · Oct 31, 2011

Quote from atticus:

This thread is useless without titty pics.

Titty pics and this thread will net out to titty pics.

kinggyppo · Oct 31, 2011

Quote from atticus:

This thread is useless without titty pics.

http://gallys.muffia.com/itsreal/49/triceratits-taylor-chanel-itsreal-1.jpg

Random.Capital · Oct 31, 2011

Quote from DontMissTheBus:

There's no analytical solution to that question except in the case of single, normal returns - which is almost never useful for the person actually asking the question.

It can be estimated through monte carlo simulations, however.

I suspect that was his point.

DontMissTheBus · Oct 31, 2011

I suspect you are right... but then, no one ever went broke by underestimating the intelligence of the average ET poster...

(it had also occurred to me that intradaybill also posts on a slightly more math literate forum)

Quote from Random.Capital:

I suspect that was his point.

MAESTRO · Oct 31, 2011

I think intradaybill had a very legit question, however, there is no straight answer to it. I have a few papers written on the subject and, believe me, it is not an easy topic. I approached it from the RW stand point of view with the volatility modulated steps and variable BIAS (probability of the step up vs down). I had some useful revelations, however, it is much more complex than that if one wants to have something practical.

Cheers,
MAESTRO