Ralph Vince - Portfolio Mathematics

First Sequence

(System A)

No Reinvestment With Reinvestment

Trade No. P&L Accum. P&L Accum.

100 100

1 − 40 60 − 40 60

2 50 110 30 90

3 − 40 70 − 36 54

4 50 120 27 81

Second Sequence

(System A)

No Reinvestment With Reinvestment

Trade No. P&L Accum. P&L Accum.

100 100

1 50 150 50 150

2 − 40 110 − 60 90

3 50 160 45 135

4 − 40 120 − 54 81

Third Sequence

(System A)

No Reinvestment With Reinvestment

Trade No. P&L Accum. P&L Accum.

100 100

1 50 150 50 150

2 50 200 75 225

3 − 40 160 − 90 135

4 − 40 120 − 54 81

Fourth Sequence
(System A)

No Reinvestment With Reinvestment

Trade No. P&L Accum. P&L Accum.

100 100
1 − 40 60 − 40 60
2 − 40 20 − 24 36
3 50701854
4 50 120 27 81
101