|
PureBytes Links
Trading Reference Links
|
Dennis.. just wanted to say "thanks" for putting the effort into running
and posting the Oddball MC simulation, and explaining the output. I am now
beginning to 'see the light'. We don't get much sunshine in Seattle, so it's
a welcome event ;-)
Much appreciated.
Ray
----- Original Message -----
From: "DH" <catapult@xxxxxxxxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Saturday, April 20, 2002 2:26 PM
Subject: Re: Oddball Monte Carlo
> > 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?
>
> No, that's not what it says. It says there is a 99.99% chance of a
> $15,810 drawdown and an 80% chance of a $28,025 drawdown. It doesn't say
> anything about how big your account is. That's the whole point of the
> exercise - determining how big an account you need to trade this thing
> and still sleep at night.
>
> The right hand column is just the minimum margin (needed to keep
> trading) added to the drawdown. Looking at that one, if you try to trade
> a big SP with a $50K account, there is a 70% chance you will get a
> margin call sometime. If you have a $100K account, there is only a 0.1%
> chance you will get a margin call.
>
> --
> Dennis
>
|