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I am doing some analysis around maximum likely consecutive winners and losers based on different win percentages. My math is a bit rusty so I was hoping someone with a bit more skill could let me know if the results I've calculated pass the sniff test. I put together the following table and the formulas that I used are footnoted at the bottom.
My next step is to run some Monte Carlo analysis to get a better understanding of the distribution of results along with what could be expected on a percentile basis, rather than just the maximums calculated here but wanted to have a baseline to compare the results against.
Max and Min consec isnt of much use . A probability matrix or curve is what you really require . I have an excel formula that produces exactly that . Here is a table i found on the net thats at least a guide . The excel file i have you can input trade sample with win rate
Thanks @Ozquant for the matrix. Maybe I should've clarified the reason behind the question in my initial post. I'm a discretionary trader taking entries based off of a combination of price action and fundamental analysis. I've been struggling trading through drawdowns so was looking to do a study of what can be expected in terms of how many consecutive losses are statistically possible based on win percentage. With this in mind, I'm curious as to why you say that max and min consec isn't of much use?
BTW, to answer my own question above, I ran a 5,000 iteration Monte Carlo analysis on a randomly generated set of 5,000 trades based on win percentage and I can confirm that the figures in the table on my original post are accurate. I also calculated what can be expected on a 10th and 25th percentile basis and posted the results in my journal (wanted to keep it in the Elite section to support the site).
