Two Plus Two Older Archives  

Go Back   Two Plus Two Older Archives > General Gambling > Probability
FAQ Community Calendar Today's Posts Search

Reply
 
Thread Tools Display Modes
  #1  
Old 12-20-2003, 05:39 PM
Eihli Eihli is offline
Senior Member
 
Join Date: Aug 2003
Posts: 363
Default Risk of ruin question

brucez's br formulas:

B = -(sigma^2/2u)ln(r)

r = exp(-2uB/sigma^2)

where B is bankroll, sigma is SD, u is hourly earn, and r is risk of ruin

Do sigma, B, and u need to be in big bets or money? Or does it matter?

Say I'm playing 2/4 making 2 bb an hour with 10 bb SD.
The equation B = -(sigma^2/2u)ln (r) or
B = -(10^2/2*2)ln(.05) = 74.89
but
B = -(40^2/2*8)ln(.05) = 299.57

So when sigma and u are in an amount of money, it gives you your BR in big bets?

But using one of brucez examples in which you make $30 an hour with a SD of 650, i get this
B = -(650^2/2*30)ln(.05) = 21094.94
And in that case it gives me a dollar amount instead of a BB amount for B.

I'm confused.
Reply With Quote
  #2  
Old 12-20-2003, 05:57 PM
bigpooch bigpooch is offline
Senior Member
 
Join Date: Sep 2003
Location: Vancouver, Canada
Posts: 759
Default Re: Risk of ruin question

Doesn't matter what units you use for the formulas. BTW,
these formulas are mere approximations but excellent ones
nonetheless! Also, the time interval commonly used is per
hour, but you could use anything else (personally, I prefer
ten minutes as this is quite easy to do online since the
more data that is accumulated, the more quickly it is to get
smaller confidence intervals and hence, a better estimator
for the win rate).
Reply With Quote
  #3  
Old 12-20-2003, 06:36 PM
Eihli Eihli is offline
Senior Member
 
Join Date: Aug 2003
Posts: 363
Default Re: Risk of ruin question

B = -(40^2/2*8)ln(.05) = 299.57

So that's saying I need $299.57 for a 5% ROR playing 2/4 making $8 an hour with $40 SD? Just 79 bb? Where did I mess up?
Reply With Quote
  #4  
Old 12-20-2003, 07:39 PM
Bozeman Bozeman is offline
Senior Member
 
Join Date: Sep 2002
Location: On the road again
Posts: 1,213
Default Re: Risk of ruin question

2 BB/hr is good, 10 BB/sqrt(hr) is not a big variance, and 5% is a relatively large RoR, so this is why the number (79 BB) is much less than the canonical 300 BB.

Craig
Reply With Quote
Reply


Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off

Forum Jump


All times are GMT -4. The time now is 11:23 AM.


Powered by vBulletin® Version 3.8.11
Copyright ©2000 - 2024, vBulletin Solutions Inc.