Markets: A Rigorous Course

M15 · Problem 1 ★ Check

Sizing and break-even for the BEL breakout

In Playbook 15.1 the fill was ₹460.46 and the initial stop ₹428.20. (a) Find the number of shares QQ under the 1% rule and the rupee value of 1R1R. (b) The position was sold at ₹430.94. Compute the total round-trip costs, line by line. (c) Express the costs as a fraction cc of 1R1R, and find the break-even win rate p∗p^* of M04 Proposition 4.5 for an average winner of W=2.5RW = 2.5R (costs only, no slippage). (d) With p=0.35p = 0.35, W=2.5W = 2.5 and the same cc, what is the expectancy per trade? Explain why this number cannot be taken from the playbook's data.

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