I think I found the answer for calculating the Mathematical Expectation (as
intended by Ralph Vince):
P = #winners / # losers

So the ME for my System would be:

> P = length(subset(trades$PnL, trades$PnL > 0)) / length(subset(trades$PnL,
trades$PnL < 0))
> P
[1] 0.6382979
> sum(P * trades$PnL)
[1] 6.223404

For what it's worth...

Regards,

-Mark-

2009/10/16 Patrick Burns <patrick@burns-stat.com>

> Mark Knecht wrote:
>
>> Hi Mark,
>>
>> On Thu, Oct 15, 2009 at 1:28 AM, Mark Breman <breman.mark@gmail.com>
>> wrote:
>>
>
> [...]
>
>
>>  Ralph Vince warns the reader that the trade system to start with should
>>> have
>>> a positive Mathematical expectation to start with, because the optimal f
>>> can
>>> not turn a losing system into a winning system.
>>>
>>
>> Independent of the calculations did your system make money
>> historically? If it did then it has a positive expectation.
>>
>>
> The truth of that assertion depends on at
> least two assumptions:
>
> * Selection bias is not very strong.
>
> * The market will behave in the future like
> it did over the historical period.
>
>
>
>
>
> Patrick Burns
> patrick@burns-stat.com
> +44 (0)20 8525 0696
> http://www.burns-stat.com
> (home of "The R Inferno" and "A Guide for the Unwilling S User")
>

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