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John,
>I used an excel monte carlo simulator released by Alex
One thing you forgot to mention is that the source code had to be
tweaked a bit for you to perform this experiment. I'm pleased that it
worked out.
>...you are always better to reduce absolute bet size as
>equity is reduced (hold % constant).
I actually expected this to be the case. Not reducing your bet size
until your drawdown hits a certain threshold of pain is sort of
like a Martingdale betsizing strategy (keeping betsize constant as
equity decreases, i.e. betting a large proportion of your equity as
betsize decreases), whereas the original fixed fraction strategy is
anti-Martingdale. Martingdale techniques usually result in disaster.
Interesting work. Thanks for posting it.
-Alex
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