Research method
Expected value
Expected value is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Account equity, volatility, stop distance and exposure
- Horizon
- Before entry and throughout the position
- Best use
- Keep a loss or exposure decision bounded before a trade is placed.
- Input: Account equity, volatility, stop distance and exposure.
- Output: filter.
- Use boundary: Keep a loss or exposure decision bounded before a trade is placed.
The graph5
How the method is built, and where it has been read
Depends on
Often reviewed together
Trading psychology process4 readings
Often reviewed together
Monte Carlo simulation4 readings
Often reviewed together
Volatility position sizing4 readings
Often reviewed together
Risk of ruin5 readings
Often reviewed together
Risk-reward ratio7 readings
Read in the archive24 of 61 readings
1982Three gates for a futures book: equity risk, expected value, and shrinking pyramids1985Forced-close odds from monthly edge and leverage1988Name the stop, then decide if the account can pay1988Modified-martingale progression lists and ruin bounds1988Empirical price-change counts versus borrowed statistics1990Constructing optimal f when trade sizes differ1991Growth-adjusted earnings years as construction filters1992Filter size by expected value and ruin1994Market life expectancy as a risk filter1994Selecting option expiration and strike by expected value1995A pre-trade checklist that bounds loss before the order1996Grading track records by drawdown, expected value, and ruin1998Ledger audit of exits, payoff, and overlap1998A return-to-loss filter for drawdown-aware evaluation1999Pre-trade size filters for expectancy and ruin2000Pair historical volatility with return-to-loss filters2001Credit-spread construction that can fail before any order is sent2001A runs test before volatility and expected-value sizing2002Monte Carlo equity paths from win rate and profit factor2002Evaluating mechanical systems in a traders market2002Trade-count horizon for equity-curve survival2002Profitability as a bound implied by RWL and commission2003Share size from daily profit equilibrium2004A day-trading breakeven matrix for size and win rate
This registry entry describes a research method. It is not investment advice and does not make a performance claim.