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Old 11-01-2007, 12:02 PM
pzhon pzhon is offline
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Join Date: Mar 2004
Posts: 4,515
Default Re: A tough variance problem (at least for me)

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Is this problem difficult enough that only a small number of people here could even give it a go,

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That's the problem.

Also, just the win rate and standard deviation alone are not enough information to determine the probability of a downswing of a particular size, as Pokey pointed out. Some processes with the same (positive) win rate and standard deviation have no downswings at all. So, it's not enough to set up some model and solve the problem for that model. You may have to match more features with an empirically observed distribution from poker in order to expect the model to have downswings which are as frequent.
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