> Correct! This is what I mentioned before as Sinal to noise ratio > (SNR), which is the optimal criterion in continuous gambling > system( Kelly criterion is only optimal for discrete gambling). I > totally agree with this fomula to calculate PI. >
OK, cool. One remaining thing that I am wondering about is whether we really need to count days. Since SQRT(trades / days) equals SQRT(trades) / SQRT(days), the *ratio* of PI(strategy1) and PI(strategy2) will be exactly the same, no matter if you include the number of days in the formula or not. So, it seems to me that for comparison purposes, we can reduce our formula to PI = SQRT(trades) * aveProfit / STDV What do you guys think? --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [EMAIL PROTECTED] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
