wow what an impressive thread... those that can do, those that cannot teach or write academic jibberish on ET.com. Is there some point to this jibberish and math formula crap. I did see "Good Will Hunting" about three times! I often wonder what my old friends at Merc and CBOT would say about this garbage; guys who made 10-25 million, with a high school degree and/or a degree from a State college, and little formal training about the esoteric and complex concepts often read on ET, while applying mostly discretionary trading.
Trader's Ruin
- Thread starter kut2k2
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Hell of a troll post. You drunk or naturally this stupid?
"Is there some point to this jibberish and math formula crap."
Yes, as usual there's some point to "math formula crap."
You are offered a choice between two blackbox systems.
The first has a winrate of 60%, an average trade win of $20 and an average trade loss of -$20.
The second has a winrate of 50%, an average trade win of $50 and an average trade loss of -$25.
Which is better and why, Mr. Discretionary & Wingin' It.
Quote from kut2k2:
Hell of a troll post. You drunk or naturally this stupid?
"Is there some point to this jibberish and math formula crap."
Yes, as usual there's some point to "math formula crap."
You are offered a choice between two blackbox systems.
The first has a winrate of 60%, an average trade win of $20 and an average trade loss of -$20.
The second has a winrate of 50%, an average trade win of $50 and an average trade loss of -$25.
Which is better and why, Mr. Discretionary & Wingin' It.
I can call you also a trol for attacking my friend iceman1 with nonsense if you do not reply with detailed info of how do you know the winrate of the blackbox systems.
If you do not answer with details you are the troll, not iceman1.
Quote from kut2k2:
The first has a winrate of 60%, an average trade win of $20 and an average trade loss of -$20.
The second has a winrate of 50%, an average trade win of $50 and an average trade loss of -$25.
Which is better and why?
Assuming a position size of $100, System 1 has an expectancy of 4% and system 2 has an expectancy of 12.5%.
However, consecutive losers is also important because drawdowns dictate how much leverage is possible.
Also, trade opportunity is a huge variable. If system 1 trades 4x as often as system 2 with the same drawdown characteristics, it's the better of the two.
The starting assumption of winrate and win amount also introduce their own variance to the calculation.
Real time simulation (i.e. experience) is the final solution to validate the basic calculation.
Or ...
Assuming the first three posts in this thread actually had a point
eek: ), I'll use risk of ruin as a measure of performance. Logically we can expect the better system to have a lower RoR for a given starting bankroll.RoR = ((1 - z)/z)^((B0-X)/U)
(B0-X) = U*log[RoR]/log[(1 - z)/z]
Let RoR = 1%
The starting bankroll for system #1 is
(B0-X)1 = 20*log[.01]/log[0.6666667] = $227.15
The starting bankroll for system #2 is
(B0-X)2 = 39.52847*log[.01]/log[0.5194939] = $277.96
System #1 is superior because it requires less start-up capital to achieve the same level of RoR as system #2.
Quote from kut2k2:
Or ...
Assuming the first three posts in this thread actually had a point
RoR = ((1 - z)/z)^((B0-X)/U)
(B0-X) = U*log[RoR]/log[(1 - z)/z]
Let RoR = 1%
The starting bankroll for system #1 is
(B0-X)1 = 20*log[.01]/log[0.6666667] = $227.15
The starting bankroll for system #2 is
(B0-X)2 = 39.52847*log[.01]/log[0.5194939] = $277.96
System #1 is superior because it requires less start-up capital to achieve the same level of RoR as system #2.
Try putting that in a prospectus....
Quote from kut2k2:
Hell of a troll post. You drunk or naturally this stupid?
"Is there some point to this jibberish and math formula crap."
Yes, as usual there's some point to "math formula crap."
You are offered a choice between two blackbox systems.
The first has a winrate of 60%, an average trade win of $20 and an average trade loss of -$20.
The second has a winrate of 50%, an average trade win of $50 and an average trade loss of -$25.
Which is better and why, Mr. Discretionary & Wingin' It.
black boxes do not work as well as a good discretionary trader
I can beat your black box in a contest
JMHO
I mean express edge in terms of C,X & U of the inequality equation above, and then setting it >0,..., what does it all mean?
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