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Hi Brian,
a comment on the coin toss equity curve note you penned. I am guessing
if you play with position size in your simulation, you effectively
have contemporaneous curves which you would then sum. Then the curves
won't fan out so much.
More accurately, in some periods you toss a coin and others you don't,
you are either in the market or not on a postion size for separate
streams. Better still, you have n positions with a final expectancy
for each with a empirical distribution of the number of bars over
which you hold the stock, and then you add the result.
In any case, you finish with an argument for smaller position sizes
and positive expectancy.
Still thinking about your earlier post.
regards
Gerry
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