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Am I reading this table correctly that there is a 99.99% chance of a 42%
percent account drawdown and an 80% chance of a 59% drawdown? If so, someone
has steel guts!
alexander kittie-guts
--- DH <catapult@xxxxxxxxxxxxxxxxxx> wrote:
> Mark reminded me he has the Oddball trades posted on the web. There are
> 366 trades of the SPX cash index - not a very realistic test but good
> enough to illustrate what we are doing. He's using $250/point to
> simulate the SP futures with no slip/com. I subtracted $250/RT for
> slip/com and ran it through 10,000 loops of the MC. Here are the
> results. Small account guys could divide the numbers by 5 to get an idea
> of how much they should have in the account for each mini ES they trade,
> keeping in mind that the futures probably won't do as well as the cash.
>
> --
> Dennis
>
> Probability of drawdown
> Size of drawdown per contract
> Min. account size per contract with $19,688 margin
> 0.01% $94,618 $114,306
> 0.1% $79,200 $98,888
> 0.2% $73,483 $93,171
> 0.3% $71,235 $90,923
> 0.4% $69,673 $89,361
> 0.5% $68,525 $88,213
> 0.6% $67,313 $87,001
> 0.7% $66,510 $86,198
> 0.8% $65,923 $85,611
> 0.9% $64,863 $84,551
> 1% $64,275 $83,963
> 2% $60,013 $79,701
> 3% $57,458 $77,146
> 4% $55,480 $75,168
> 5% $53,903 $73,591
> 6% $52,523 $72,211
> 7% $51,205 $70,893
> 8% $50,353 $70,041
> 9% $49,240 $68,928
> 10% $48,330 $68,018
> 11% $47,703 $67,391
> 12% $47,108 $66,796
> 13% $46,480 $66,168
> 14% $45,920 $65,608
> 15% $45,378 $65,066
> 16% $44,905 $64,593
> 17% $44,493 $64,181
> 18% $44,020 $63,708
> 19% $43,623 $63,311
> 20% $43,238 $62,926
> 25% $41,078 $60,766
> 30% $39,405 $59,093
> 35% $37,960 $57,648
> 40% $36,628 $56,316
> 45% $35,390 $55,078
> 50% $34,208 $53,896
> 55% $33,195 $52,883
> 60% $32,073 $51,761
> 65% $31,038 $50,726
> 70% $30,018 $49,706
> 75% $29,070 $48,758
> 80% $28,025 $47,713
> 85% $26,840 $46,528
> 90% $25,460 $45,148
> 95% $23,478 $43,166
> 99% $20,485 $40,173
> 99.9% $17,913 $37,601
> 99.99% $15,810 $35,498
>
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