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James' post was too big with its attachment. I've put "winloss.xls"
on the list's ftp site:
ftp://ftp.eskimo.com/u/j/jimo
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jimo@xxxxxxxxxx
maintainer of the omega list
omega-list-request@xxxxxxxxxx
-------------forwarded msg:----------------------
Message-Id: <D1EDAC9D0A6ED211B5350008C7A40EAF154510@xxxxxxxx>
From: "Money, James L" <James_Money@xxxxxxxxxxxx>
To: "'andy@xxxxxxxx'" <andy@xxxxxxxx>, omega-list@xxxxxxxxxx
Subject: RE: Math Question Challenge
Old-Date: Thu, 17 Dec 1998 09:12:20 -0600
X-Mailer: Internet Mail Service (5.5.2232.9)
Please see the attached spreadsheet. I have used a binomial tree to solve
the problem. If the format does not work for someone please let me know and
I will take it to a different format for you. Note the results are similar
to what has been put out on the list so far.
Jim Money
AIM
Analytics
<<Binomial Tree for winloss.xls>>
> -----Original Message-----
> From: Andy Dunn [SMTP:andy@xxxxxxxx]
> Sent: Tuesday, December 15, 1998 9:17 PM
> To: omega-list@xxxxxxxxxx
> Subject: Math Question Challenge
>
> Can anyone write me a formula for the following.
>
> I have a system and the average WIN is 2X the average LOSS
> The system WINS exactly 50% of the time
> Let's say I start with $1M
> Each time I trade, I risk 1% of the bankroll (starts at 1M then goes up
> with each trade)
>
> Can anyone write an algebraic formula that will determine the yearly
> Rate-Of-Return depending on HOW MANY trades this system does each year?
>
>
> thanks
>
> Andy
[ attchment posted on ftp://ftp.eskimo.com/u/j/jimo/winloss.xls ]
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