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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
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