its all about pure math

Sounds like your implemented a poor-man's arima model.

Anyway, getting an estimation is not terribly hard - a few lines of matlab; the problem is exactly what you can do about it - naively changing your strategy around so that that number gets smaller is actually a rather dangerous thing to do.

Quote from MAESTRO:

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
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Quote from DontMissTheBus:
Quote from Crispy:

It all reverts back to the mean eventually...

Save it for someone else.
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I guess the speed of that reversion or the size of the possible deviation from the mean is entirely irrelevant to you?

You must be making a killing in the market.
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What most haven't figured out is that the mean you start out with usually isn't the mean you end up with. :D
 
Quote from intradaybill:

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.
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:D

If there's one overrated concept here, it isn't expectancy, it's win rate.

You're trying to shoehorn casino math into the trading world.
 
Quote from kinggyppo:

I like this one:

max.jpg
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With all due respect, that's not math, that's physics. I doubt even the guys at Nuclear Phynance can make a trading app out of it.
 
Quote from MAESTRO:

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
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Thanks. My first question is whether it is posisble to have a non-certain risk of ruin with win probability of 50%.
 
Ur... without context, it's nothing other than some scribbling... (though, I guess you could argue it's a factor used to normalize against dispersion... )

Quote from kut2k2:

With all due respect, that's not math, that's physics. I doubt even the guys at Nuclear Phynance can make a trading app out of it.
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Quote from DontMissTheBus:

Ur... without context, it's nothing other than some scribbling...
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It has context, and is recognized worldwide as Maxwell's calculation for the speed of light. If I had quoted, say, a Latin phrase, would you still talk about "scribbling without context"?

Here's some more "scribbling": Neko ni koban
 
Quote from HATEtheRisk:

What math do you use for your trading ?

I always was bad in math in school.

I only can calculate % and build and chart statistics !!!
Fortunately thats all i need for my trading !!!

I do not need to calculate roots or fibonacci numbers.
thanx god.

regards:) :) :)
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different word of math. even the 5 years old can solve the math.

fibonacci numbers> i dont want to use that.

i only use math, rules and price action in my trade.

i will show you my trade. hows math work in my system

sorry no english much..
 
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