[R-SIG-Finance] Mathematical Expectation for a trading system

[Mark Knecht]

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
>
>