Hello,
In "The mathematics of money management" by Ralph Vince there is a formula
for calculating the Mathematical Expectation of a game (in R pseudo code):

ME  =  for(i in 1:N) { Pi * Ai}

where
P = Probability of winning or losing
A = Amount won or lost
N = Number of possible outcomes.

Or in text: "Mathematical expectation is the amount you expect to make or
lose, on average, each bet".

Now suppose I want to know the Mathematical expectation of a trading system.

I have a series of trade returns:

> trades$PnL
 [1]  -5.75  10.00  -1.25  96.00 -16.00 -35.00  29.00 -18.25  -2.25 -10.25
-21.75  -5.50   8.50 -20.50  -6.00  14.25  18.00
[18]   3.75  -4.25  24.00  17.75  -9.50  11.25 -33.75   6.25 -28.00   1.00
 36.75  14.00 -30.75  -0.50   6.75  19.25   5.25
[35] -10.00 -23.25   9.25  11.00 -33.00 -19.00 -17.50  -5.50  -5.75  -8.50
-24.50 -24.00   2.25  -1.00   0.75  -1.75  -2.25
[52]   9.25  15.00  -2.25  -6.75   5.25  -4.75 -10.00  -2.00  63.50 -18.00
-18.00  58.00  -8.75   1.00 -36.75 -23.50 -64.00
[69] -15.75 -10.00 -34.75  27.75 -57.00 204.75 -45.00 -71.00 133.75

So I have A = trades$PnL and N=77, but how do I calculate P?

-Mark-

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