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Below is a link containing a Monte Carlo simulator in addition to some reading and application of the Kelly criterion in horse racing and other games of chance.
The simulator asks for a set of in-put parameters. The WIN/LOSS ratio is the average odds 2.3/1(not dividend) of your system. The WIN PROB is the average strike rate, ie 35% should be entered as 0.35. Initially I would set the line quantity (iterations) at 5 and then 10 and so on. Pixels = trades = bets So, for every iteration(plotted line) there are approximately 450 simulated bets. Each plotted end result is basaed on level stakes. The optimal bet size (Kelly value)is expressed .0673 meaning that in order to maximise ending equity (final bank) a wager of 6.73% of current equity (bank) should be risked on each bet given the parameter in-puts. MATH EXPECT figure (.159) equates to 15.9% PoT. Unfortunately the simulator doesn't plot the Kelly value iterations - drawdown (risk of ruin) would make interesting reading. http://www.hquotes.com/tradehard/simulator.html [ This Message was edited by: Dr Pangloss on 2002-11-21 14:46 ] |
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