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Thanks 
Richard, Yes, i have no argument with the math. <SPAN 
class=515084202-10032004><SPAN 
class=515084202-10032004><FONT face=Arial 
color=#0000ff> 
<SPAN 
class=515084202-10032004>best regards,
<SPAN 
class=515084202-10032004>herman
<SPAN 
class=515084202-10032004> 
<SPAN 
class=515084202-10032004> -----Original Message-----From: 
Richard Dale [mailto:richard@xxxxxxxxxxxxxxx]Sent: Tuesday, March 09, 
2004 9:04 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
[amibroker] Re: Comments on Van Tharp courses please

  <FONT face=Arial 
  color=#0000ff size=2>Herman,
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>Mathematically speaking Van Tharp is 
  correct.
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>Here's a good way of figuring it out in 
  Excel.
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>Let's say you want to have a trading system that 
  generates 1000 trades a year.  Let's say you want to only ever see a long 
  losing run once per yer.  Your system is 50% accurate (wins 50% of the 
  time).  What's your maximum losing streak on the basis of these 
  odds?
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>9.965 trade losing streak
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>What about if your system was 60% 
  accurate?
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>7.5 trade losing streak.
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>What's the formula?
  <FONT face=Arial 
  color=#0000ff size=2> 
  <FONT face=Arial 
  color=#0000ff size=2>In Excel to determine the maximum losing 
  streak:
  =LOG(<SPAN 
  class=798540601-10032004>PLS,<SPAN 
  class=798540601-10032004>PL)
   
  <FONT face=Arial color=#0000ff 
  size=2>where
  PLS 
  = Probability of losing streak (eg 1/1000 = .001 )
  PL = 
  Probabilty of loss (eg 0.5)
  <SPAN 
  class=798540601-10032004><SPAN 
  class=798540601-10032004><SPAN 
  class=798540601-10032004><FONT 
  face=Arial color=#0000ff size=2> 
  Now 
  these are all theoretical formulae of course on the basis of INDEPENDENT 
  events.  There's reams of material out there to say that trading isn't 
  indepdendent.  <FONT 
  face=Arial color=#0000ff size=2>But at least it's worthwhile knowing what the 
  theory says when you're backtesting your trading system.
  <SPAN 
  class=798540601-10032004><FONT face=Arial color=#0000ff 
  size=2> 
  Cheers,
  Richard Dale.
  Norgate Investor Services- Premium 
  quality Stock, Futures and Foreign Exchange Data for  markets in 
  Australia, Asia, Europe, UK & USA -<A 
  title=http://www.premiumdata.net/ href=""><FONT 
  face=Arial size=2>www.premiumdata.net 
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