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#1
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Re: RoR -- What % loss before double?
If you want a rough 95% confidence interval, you have about a 95% chance of having a maximum drop before you double up of between B1 and B2, where B1 is the bankroll level at which you would have a 97.5% risk of ruin, and B2 is the bankroll level at which you would have a 2.5% risk of ruin.
B1 = B log(.025)/Log(.001) = 0.534 B. B2 = B log(.975)/log(.001) = 0.00367 B. That gives you a confidence interval for the worst drawdown ever. It's not very different from your minimum before doubling your bankroll. The latter problem can be solved exactly, but I don't think that is what you really want. Here is a useful tool for seeing the difference: The probability you lose L units before you win W units is roughly (c^L-c^(L+W)) -------------- . (1-c^(L+W)) Let B be the current size of your bankroll. When you set W=infinity and L=B, you should get the risk of ruin of 0.1% you assume, and the above simplifies to c^B, so c=0.001^(1/B). |
#2
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Re: RoR -- What % loss before double?
Thanks a lot, pzhon. This is perfect.
If yourself, Aaron, and Bruce would be willing to post up a bit about who you guys are / what you guys do for a living / where you learned this stuff / how you made it to this site, that'd be pretty sweet. [img]/images/graemlins/smile.gif[/img] If you'd prefer not to, that's alright. Take care, Dave. |
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