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Keep in mind, no many fully agree with the Ralph Vince formula for ruin.....
the probabilities seems way too low.
I think Long Term Capital Management used it ;)
> -----Original Message-----
> From: Michael Suesserott [mailto:MikeSuesserott@xxxxxxxxxxx]
> Sent: Wednesday, March 22, 2000 12:56 PM
> To: Nixon(MLS); Omega-List; code-list@xxxxxxxxxxxxx
> Subject: RE: Risk of ruin
>
>
> Philip,
>
> three excellent books:
>
> Fred Gehm, Quantitative Trading & Money Management
> Nauzer J. Balsara, Money Management Strategies for Futures Traders
> Ralph Vince, Portfolio Management Formulas
>
> Good trading!
>
> Michael
>
> -----Original Message-----
> From: Nixon(MLS) [mailto:mbjp57@xxxxxxxxxxxxxx]
> Sent: Wednesday, March 22, 2000 14:58
> To: Omega-List; code-list@xxxxxxxxxxxxx
> Subject: Risk of ruin
>
>
> How do I work out the probability or risk of ruin on any system?
>
> What is the maths then of working put what my optimal trade size
> is? or if
> this a too in-depth question, what should I be reading to research this?
>
> regards and thanks
>
> Philip (Mr 2%)
>
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