Brain-training tasks related to trading in one way or another. Theorist, game theory, etc. - page 16
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Koo. Here's a problem.
Let's say there is a system that has a drawdown of 1 quid, a profit of 3 quid and 500 trades.
There is another system that has a drawdown of 1 quid, profit of 2 quid and 200 trades.
I need to calculate the average drawdown of the combined system, assuming that the systems are independent.
it all depends on the timing of the drawdown.
If they are separated by time, the drawdown remains =1
if matched, 2
Okay. Then a narrower question first.
There is a system with a drawdown of x and 1000 trades. Let's assume that the trades are normally distributed.
We need to find the drawdown ratio for 2000 trades that will not be exceeded with 95% probability.
Theorists, show me how to solve such problems :)
Okay. Then a narrower question first.
There is a system with a drawdown of x and 1000 trades. Let's assume that the trades are normally distributed.
We need to find the drawdown value for 2000 trades that will not be exceeded with 95% probability.
Teorvers, please show me how to solve such problems :)
Let me try to help, a little from afar. If we have a set of random numbers (normally distributed) having RMS = x and we want to find the range where the next number will fall with a 95% probability, it will be an average value of +- 2*RMS. If we want to calculate the range of the next two numbers with 95% probability. 95%, it would be: 2 * RMS (expectation of value) +- square root of 2 (two numbers) * 2 * RMS. That is, the RMS increases according to the law of the square root of the number of values.
All in all, I think you will have roughly: initial drawdown * root of 2. It may be more complicated than that.
All in all, I think you will have roughly: initial drawdown * root of 2. It might be more complicated than that.
Koo. Here's a problem.
Let's say I have a system that has a drawdown of 1 quid, 3 quid profit and 500 trades.
The problem is rather an abstract one.
A system that has a drawdown of 1 quid even paired with another system that also has a drawdown of 1 quid, the average drawdown will also be equal to 1 quid.
Okay. Then the question is narrower at first.
We have a system with the drawdown of x and 1000 trades. Assume that the trades are normally distributed.
We need to find the drawdown value for 2000 trades that will not be exceeded with 95% probability.
Theorists, show me how to solve such problems :)
It's more of an intelligence problem.
A system with a drawdown of 1 quid, even when paired with another system that also has a drawdown of 1 quid, will also have an average drawdown of 1 quid.
1+1/2=1 ?!
1+1/2=1 ?!
The correct way is like this:
(1 + 1) / 2 = 1
The correct way is like this:
(1 + 1) / 2 = 1
Yeah, I didn't put the brackets in...
A system with a drawdown of 1 quid, even paired with another system that also has a drawdown of 1 quid, will also have an average drawdown of 1 quid.
How else can you communicate with a person who at first does not think, and then pretends not to be offended when he is told that he is talking bullshit?
Just in case -- rhetorical question.
And that's how else do you communicate with someone who doesn't think first and then pretends not to be offended when they're told they're talking shit?
Our sincere condolences.
Is someone forcing you to talk to such a bad man and tell him he talks bollocks?
How do you know what the bad man thinks or doesn't think and whether he really is not offended or just pretending to be a hoser? Did you take a telepathic course?
Just in case -- the questions are rhetorical.