## Search found 10 matches

Thu Feb 03, 2005 11:47 am
Forum: Money Management
Topic: plz help me with my math: probability of N losses in a row
Replies: 3
Views: 4414
In both examples the first statement is correct but the second is wrong. The number of trades needed for this to occur canÃ¢â‚¬â„¢t be calculated like that. I will give you an example with 2 losses in a row from a fair coin flip. The sequence may look like this Loss-loss we will need two coin flips ...
Tue Dec 14, 2004 8:31 am
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 12240
Without reinventing the wheel I will post the solution illustrated in Ed Thorps paper that can be found everywhere on the web. Only one system available We take a simple system: p (probability of winning) 60% , q (probability of losing) 40% R-multiple probability -1 40% 1 60% f (Kelly) = [(-1)*0.4+1...
Tue Dec 07, 2004 9:32 am
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 12240
Example for two systems: System_1 : f = 0.18 System_2 : f = 0.2 1 st case: The two systems are independent When system_1 gives a signal allocate 0.16 of your capital to it When system_2 gives a signal allocate 0.18 of your capital to it Gbos, thanks for your reply. Lets stick with this example wher...
Tue Dec 07, 2004 5:44 am
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 12240
I am afraid that the answer to that is very complicated. Also it is one of the most misunderstood concepts of money management. The solution of simply dividing your capital in proportions and trading each system independently is highly sub-optimal. For a â€˜correctâ€™ treatment, you have to know the...
Tue Sep 09, 2003 1:10 pm
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 21292
Hi vegasoul This is not difficult. An easy way that you can simulate this kind of relationship between trades is with the aid of Markov chains. See any introductory text on probability for reference. As for a<0.5 I canâ€™t understand the question. If you are referring to the add-in 'a' coefficient c...
Tue Sep 09, 2003 9:16 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 21292
Kiwi very nice program. Here is my own home made add-in (MonteCarlo.xla) (money management orientated) with instructions (Read_Me.pdf). Works fine on my Excel 2002 (English Version) but I havenâ€™t tested in other excel versions so if it doesnâ€™t work please donâ€™t throw me rocks.
Tue Jul 22, 2003 10:46 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 124555
Hi Hiramhon Thatâ€™s true but the calculation of expectation and variance remains straightforward. Expectation = p1 * w1 + p2*w2 + p3*w3 + â€¦.. Variance = p1*w1^2 + p2*w2^2 + p3*w3^2 + â€¦.. â€“ Expectation^2 The approximation f = mean/variance remains valid for small f not matter how many possible...
Tue Jul 22, 2003 5:59 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 124555
An excellent paper about betting size and â€œoptimal fâ€
Tue May 27, 2003 6:55 am
Forum: Money Management
Topic: perplexed: Position Sizing
Replies: 10
Views: 12822