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Glen,
On Mon, 19 Jul 1999 10:39:17 -0700, you wrote:
>I think the theoretical accuracy will increase if you use an appropriate
>distribution (versus historical results). The problem, though, is will the
>distribution you choose -- whether Normal, leptokurtic or whatever -- match
>future trade results? Even if it matches future trade results for the next
>month, the distribution will probably change again the following month.
>This business is not an exact science.
>
>What distribution to use, is the $64,000 question. Until that question is
>answered, we just have to limp along with the tools we have and a firm stop
>loss.
Because, imo it is sufficient to concentrate *on losses*, the
theoretical distribution can be restricted to represent the losses
only. This might be much easier than dealing with the losses *and*
wins in one rather complex distribution.
For rare events (eg in failure analysis in mechanical engineering) the
Weibull distribution is heavily used. So I would like to try this
line. (Weibull integration is included as a standard function in
Excel.)
Unfortunately, I could not find any "recipe", how to calculate
Weibull's parameters from discrete data, eg in Excel. Can you (or
someone else) give any hint, where to find an appropriate "numerical
recipe"?
mfg rudolf stricker
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