Mathematical Expectation for a trading system
Please see the first response I made to this thread. Cheers, Mark
On Fri, Oct 16, 2009 at 6:36 AM, Mark Breman <breman.mark at gmail.com> wrote:
Hi Mark, You are right: it is P = #winners / #trades Thank you, -Mark- 2009/10/16 Mark Knecht <markknecht at gmail.com>
On Fri, Oct 16, 2009 at 2:46 AM, Mark Breman <breman.mark at gmail.com> wrote:
I think I found the answer for calculating the Mathematical Expectation (as intended by Ralph Vince): P = #winners / # losers
Is it #winner/#losers or is it #winner/#trades ? Either can be true but I think the latter is more common in my experience as it yields a value between 0 and 1. good luck, Mark