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作者:guvest
发表时间:2016-11-03
更新时间:2016-11-03
浏览:453次
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地址:47.
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[The below calculation is a video game. Do not trade it too
serious. YMYD.

If the trends continued tomorrow, I will reduce my QQQ-Renminbi
position in next week since I had some Gold.]

1.

The worst single day of last 252 days. Below are these worst returns:
2016-01-11 -0.044215
2016-09-13 -0.027194
2016-02-09 -0.026705
2016-01-04 -0.023450
2016-01-19 -0.022010
2015-12-03 -0.018790
2016-06-24 -0.016324
2016-11-01 -0.014670
2015-11-11 -0.012991
2016-05-05 -0.012130
2016-06-17 -0.011856
2016-05-19 -0.011661
2016-04-07 -0.008656

2.
In last eight days, the return is:
0.029=(2151-2088)/2152

3.
2.9/square root of 8 = 1.025

In table 1, 1.025 is the 12th worst day.
12/252=4%.

1-4% = 96%

4.
So the conclusion is:

The last eight day's at the boundary of 96% percentile.
Definitely not in the 99% percentile yet.

It is very subtle since the usual cut loss line is at
95% or 99%.






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