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Here are some quick fixes to your problems: return should not be 0.4% or 4%, but 1.004 or 1.04, respectively. probability of failure (by the way, what is that? losing everything? Losing an amount equal to potential gain?) should be subtracted from 1, not reciprocal: $1-P$ rather than $1/P$. This is more rational and will already fulfill your wish of ...


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Imagine this: you roll a fair die. If you roll a 5 or a 6, you get 3 dollars. If you roll a 1-4, you lose a dollar. Positive expectancy, less than 50% correct. The simplest trend followers have such a profile.


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I think the only thing throwing your desired results for these examples is the 12-fold advantage given by the probability. You could consider using a (natural) log of the probability, which would dampen the advantage (in this case) to two-fold (and take the negative, as I presume all your probabilities are <= 1). That said, beware tailoring your ...


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I think you are pretty much mixing apples with oranges in your formula :-) A slightly more meaningful, but yet very simple approach, could be first of all to "normalize" each score in the interval [0, 1]: Value - Min Value Index01 = ---------------------- Max Value - Min Value (your quantities are all positive, so ...



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