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

[Mark Knecht]

Not enough information. Is this a long-only system? If it is then you
bought 4 and sold 7.

Is this a system that goes long and short? If so then I cannot tell
what completes a trade?

Most likely I'd start with some sort of LIFO (Last in first out) and
then try FIFO. (First in first out)

LIFO:
Buy 103 & 102, sell 2 at 102 - currently long 2
Buy 101 & 100, sell 2 at 101 - currently flat
Sell 2 at 99
Sell 98 - currently short 3

I'm not sure this is what you mean though. After matching them up it's
just winners/trades to me.

Other ideas?

- Mark

On Fri, Oct 16, 2009 at 7:17 AM, Ulrich Staudinger
<ustaudinger at gmail.com> wrote:
> Hi,
>
> out of curiosity,
> how would you define this statistic with a ramp up and ramp down trade
> system ?
> Trades could look like this:
>
> Buy 1 @ 100
> Buy 1 @ 101
> Buy 1 @ 102
> Buy 1 @ 103
> Sell 2 @ 102
> Sell 2 @ 101
> Sell 2 @ 99
> Sell 1 @ 98
>
> ?
>
> Thanks,
> kind regards,
> Ulrich
>
> On Fri, Oct 16, 2009 at 3:36 PM, 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
>> >
>>
>>        [[alternative HTML version deleted]]
>>
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>
>
>
> --
> Ulrich B. Staudinger
>