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I was given some calculations, but I don't believe it
special thanks to alexeymosc
There will be thick tails, so in some cases the drain will be almost indefinitely.
And Alexei is quite trustworthy, he calculates well.
There are many factors influencing depo draining, and the more accurate the system, the slower it will drain (in my opinion)
There are many factors influencing depo draining, and the more accurate the system, the slower it will drain (in my opinion)
There will be thick tails, so in some cases the drain will be almost indefinitely long.
This is in theory, haven't met a martin that pours infinitely long ))
And Alexei is quite trustworthy, he counts well.
I'm afraid I don't fully understand the idea of a drain
_ I don't fully understand the idea of a drain
It's true. Constructive when?
After the rain on Thursday.
I'm afraid I don't fully understand the plum idea
It's a good thing you posted it here. Maybe someone will double-check.
I am confident in the correctness of the system modelling on a martin. The blue line is correct, and it shows the probability of a $100 deposit making a profit on X before it is lost, according to the classical martingale system.
The red line is the probability of losing the virtual deposit before the profit X = 1 - P - this line is also correct. Interestingly, without taking into account spread (I modelled without taking into account spread) probability of doubling 100 quid on martingale = about 60%. But don't believe that because with spread the probability will tend to 50% with an infinite number of trials.
But the green - most important - line, which means the probability of doubling the mirrored depo at its initial values deposited on the X-axis, is the third time I've recalculated it. This time I think it will be more correct.
I will show by example its meaning. Let's assume that our virtual depo is equal to $100, and we have taken the real one at $1000. It seems to us - only seems to us - that the probability that the virtual depo will raise a profit of $1000 and thereby sell our real is very small. But modelling has shown that this probability is 0.171. And, accordingly, the probability of withdrawal of the virtual deposit before reaching the profit of $1000 is 1 - 0.171 = 0.829. Then let us think it over. We need to drain the virtual deposit ten times to double the real sum of $1000. Let's calculate: 0.829 ^ 10 is approximately 0.153. Only 15%!
Let us take the real of $100. Since the probability that the virtual depo on a martin will take $100 = 0.597, and the probability of it being drained is 1 - 0.597 = 0.403. This same number will be the probability that the $100 real will be doubled before it is drained.
Such pies!