Why? He's about to pepper this discussion with unadulterated nonsense anyway (nonsense, not as in unorthodox thoughts that reasonable men can...
Who's 'we'?
That the distribution of either maximum draw-down or probability of NAV < 0 with finite trading time is sensitive to the specification of the...
I think I answered the right question: it depends on the price series and the strategy! If there's finite stopping time, then it all depends on...
Also, drawdowns and expected returns (can we please move on from using silly casino probabilities terms? like risk or ruin?) are not monotonic...
Okay... change A to r(t) = 0.25 * e(t) + 0.75*e(t-1) where e(t) = norm(0,1)
Absolutely. You can convince yourself with a simple experiment (you can do this in Excel if you don't have matlab or something similar):...
Oh boy.... now we are getting into some actually interesting stuff... But we need to make it less interesting first and specify that nature of...
That's why I figured the question is for laughs (intradaybill feel free to correct if I misunderstood too). If it is, then the statement is...
That's not strictly true, no? The only statement is that if you trade forever (in the true sense of the word) and you have finite capital, then...
Yes.... but only if each trade is in the same unit of risk as all previous trades (for example, a single contract rather than a fixed % of NAV)....
I think the average math illiterate ET'ers are waaay to far beneath you to even get the humor of your statement.... If the strategy returns...
I disagree with you there friend. Without context, it's just an algebraic expression. In the context of physics, it's Maxwell's equation. In the...
Ur... without context, it's nothing other than some scribbling... (though, I guess you could argue it's a factor used to normalize against...
Sounds like your implemented a poor-man's arima model. Anyway, getting an estimation is not terribly hard - a few lines of matlab; the problem...
Unfortunately, no one will finance your trades at the same terms as AIG. Not sure if you are just joking around or being willfully dense to the...
I suspect you are right... but then, no one ever went broke by underestimating the intelligence of the average ET poster... (it had also...
Yiks... better be careful there: natural disasters, auto accidents, etc, are either stationary (a technical term) or at the very least very close...
I think you should... or, if you find a closed form solution to the maximum deviation problem (which your risk of ruin essential is) for...
There's no analytical solution to that question except in the case of single, normal returns - which is almost never useful for the person...
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