Ralph Vince's R6 Risk of Ruin Formula ...

[Andrew <andrew@xxxxxxxxx>]

Has anyone on the list successfully coded Ralph Vince's formula "R6" for Risk of
Ruin found in his book "Portfolio Management Formulas : Mathematical Trading
Methods for the Futures, Options, and Stock Markets "?

I have programmed it, but am highly skeptical of the results.  This was the only
formula where he did not provide any examples.

If anyone has programmed it, I would love to hear from you.

With the following inputs:

OptimalF = 0.5
WinPercent = 0.35
MaxLoss = -3
AvgWin = 4
AvgLoss = -1
Depletion = 0.75


I arrive at:

R6 = 0.0898289

Which seems a little low.

Any and all help would be appreciated.

Andrew