- public class DoubleOrNothing
- extends java.lang.Object
Console program allocating a constant volatility asset and examining
the strategy which averages down as follows: 100 shares are bought at time
t=0. Each time the asset price declines 5% from the level of the last buy
the position (number of shares) is increased by a factor f=2.
Computes the means and standard deviations of:
- the gains from trading
- the maximum amount borrowed
- the maximum drawdown
- the annualized return on investment (compounded continuously)
- the number of trades
All except the last quantity are discounted amounts and all are evaluated
at the time horizon T.
Parameters (time to expiration, volatility,...) fixed in source code.
No user interaction. 10,000 paths of the underlying asset are simulated.
Warning:if f is large enough this can wrest positive returns even
from an asset drifting lower (bear market). In this case however the
position can grow very large. Do this only if you have very deep pockets!
|Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
public static void main(java.lang.String args)