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You may have read about the marble game.
In an article in 'Technical Analysis of Stocks & Commodities' . Van K.
Tharp talks about a marble game in which there are 60 white and 40 black
marbles in a bag. The marbles are drawn randomly and then replaced. Each
player starts with some initial amount of cash - $1000 - and may bet
whatever amount he wishes on the next draw. If white is drawn the risked
amount (R) is added to his equity; if black then R is subtracted from
equity. The game continues for 100 draws. This is a good simulation of the
problem traders face in position sizing.
Actually playing the game is tedious so two years ago I posted a free
program that simulates the marble game by randomly drawing from a simulated
marble bag and gathering statistics on the results.
Since then a new version is just completed that adds graphs of the ending
equity.
The program has also been extended to do more than simulate marble draws. A
new version called TradeLab will take a list of trading results from an
input file and draw from that list. This will give a measure of statistics
for real trading results and plot a variety of graphical results.
If you are interested, there are more details at
http://www.tradelabstrategies.com/
Larry Sanders
sanders@xxxxxxxxxxxxxxxxxxxxxx
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