|
PureBytes Links
Trading Reference Links
|
Andy -
Your problem is incompletely defined. As some have already indirectly
suggested (by making assumptions about the unspecified factors), the
result will depend upon both (a) the size of each individual win and
loss, and (b) the sequence in which these occur. I think it can be
shown that the result would differ significantly if you took the same
set of wins and losses and simply rearranged their sequence.
You might, of course, assume an average win & loss size and assume
further that they occur in alternating sequence. But I suspect that if
you simulated your problem using random wins and losses, with your
randomizing function chosen to approximate the 50% win/loss split and
the average win size, you would find a VERY wide spread of results over
several different simulations.
Carroll S.
|