more data, Calculating max # consecutive losses

[Mark Johnson <janitor@xxxxxxxxxxxx>]

To my surprise, it has turned out that lots and lots of people
have their own favorite math formula for estimating the
maximum number of consecutive losses that a trading methodology
can be expected to produce.  This of course includes me; I
sent my own formula,
   EV(max #consecutive losses) ~approx~=  (log(2/N)) / log(1-P)
to the Omega List on Monday.

Since then quite a number of people have sent their pet equation
to me asking "Yeah but how good is THIS?"

I've decided to answer one and all by providing 78 different
test problems and "the right answers" for each, then letting
every proud parent of a pet formula run his/her own tests and
measure their own residual errors.  It's all available,
including handy .csv data for import into spreadsheets, here:

    http://traderclub.com/discus/messages/18/1264.html


--
   Mark Johnson     Silicon Valley, California     mark@xxxxxxxxxxxx

   "... The world will little note, nor long remember, what we
    say here..."   -Abraham Lincoln, "The Gettysburg Address"