#41
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Re: Finally - A Real World Perspective
Actually, 2x equity turnover for a day trader would be considered very low.
Consider that a Day Trader can have positions up to 4x equity at any given moment and turn that over several times a day. However, he didn't classify himself as a day trader (which it sounds like he is), he stated he was a hedge fund. Turning over 2x equity every day would be a bit unusual for a hedge fund, unless he's day trading around core positions. |
#42
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Re: Major Problem with Bill Chin\'s Article on Variance
[ QUOTE ]
Ever wonder why casinos keep increasing the denomination of your chips if you win? [/ QUOTE ] They give you bigger chips to encourage you to big a larger amount so that their EV is higher. That's it. It's not about the "gambler's ruin theorem"; it's just about wanting you to bet a lot. |
#43
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Re: Major Problem with Bill Chin\'s Article on Variance
[ QUOTE ]
Such as computing the probability that a 2 BB/100 player with SD = 15 BB/100 will experience a loss over a given set of 2000 hands. [/ QUOTE ] Just how far from Gaussian do you think a set of 2000 indepedent hands is? The answer might suprise you. |
#44
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Re: Major Problem with Bill Chin\'s Article on Variance
[ QUOTE ]
[ QUOTE ] SD assumes the distribution of observations is symmetrical around the mean; i.e., that the normal distribution is the correct statistical model to use. [/ QUOTE ] Whether or not the assumption of normality is justified, calculating the standard deviation requires no knowledge of the shape of the distribution. It would be a valid statistic, whatever the distribution. Or am I crazy? [/ QUOTE ] Not crazy. Inferential statistics using the mean and standard deviation assume a normal distribution, but as descriptive statistics the standard deviation and mean require no distributional assumptions. |
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