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Re: Probability Distribution Function of trade results



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Mark,
I've messed with it some. However, don't expect it to fit a nice
typical distributions used in statistics such as Normal, Poisson or
Student's etc.

Instead, expect it to fit something you might model with an N degree
polynomial (3 or 4 degrees if I remember right). 

Remember, a trade distribution is simply a distribution of price,
altered by the rules of the system....rules like cutting losses short
and letting profits ride. So I suggest the place to start with this is
by looking at the trade distribution.

Sometimes this is looked upon as a Peretian Distribution, which is
just a 3rd or 4th degree polynomial.  That would be the place I would
recommend to start studying this......by the way, I think it is the
foundation for studying ANYTHING interms of trading systems,
strategies or money management. Good Luck, Ralph Vince



---Mark Johnson <janitor@xxxxxxxxxxxx> wrote:
>
> Hi y'all.
> 
> I've been plotting histograms of my futures trading
> results, and seeking a correspondence between
> my empirical real-money results and the standard
> distributions/density_functions from statistics.
> 
> Has anybody "out there" done this too?  If so I would
> love to correspond with you.
>  
> Thanks,
> --
>    Mark Johnson     Silicon Valley, California     mark@xxxxxxxxxxxx
> 
>    "... The world will little note, nor long remember, what is said
>     here today..."   -Abraham Lincoln, "The Gettysburg Address"
> 
>