SUPER TRADER

SUPER TRADER p204にあるシミュレータを実装してみた。
似た結果がでるんで、大きな不具合はなさそう。

これと、適当な仕掛けのシミュレーション結果をつなげれば、
R分布から最適な比率の算出までいけそうだ。

出力結果：
* System
** System SQN0
* R Multiples
** Probability (%), R Multiple
** 10.0%, -5.0R
** 70.0%, -1.0R
** 20.0%, 10.0R
* Basic Information
** Property, Value
** Expectancy, 0.8
** Std. Deviation, 4.77366513151884
** Winners (%), 20.0
** Win/Loss Ratio, 6.66666666666667
** Trades, 100
** SQN, 1.67586116319278
* MAX_MEAN_RETURN
optimal risk: 19.7
prob of obje: 0.47
prob of ruin: 99.5
mean gain : 553540.677049992
medi gain : -36.0610844181034
* MAX_MEDIAN_RETURN
optimal risk: 2.2
prob of obje: 44.03
prob of ruin: 19.42
mean gain : 132.871044604935
medi gain : 81.2529058584179
* OPTIMAL_RETIRE
optimal risk: 2.9
prob of obje: 46.59
prob of ruin: 31.08
mean gain : 193.306192498198
medi gain : 77.944003835998
* RUIN_BELOW_1
optimal risk: 0.9
prob of obje: 10.75
prob of ruin: 0.66
mean gain : 43.5005448569765
medi gain : 37.0439110472889
* RUIN_ABOVE_0
optimal risk: 0.7
prob of obje: 3.04
prob of ruin: 0.08
mean gain : 31.9598372614161
medi gain : 27.3112448350408
* RETIRE_LESS_RUIN
optimal risk: 1.7
prob of obje: 36.76
prob of ruin: 9.89
mean gain : 91.9285327994148
medi gain : 64.0475374670884