P&L Forecasting, 06/22/08

A tool for P&L forecasting based on The Axiom of the Small Edge is here:
Tools: P&L Forecaster
Given historical average trade and standard deviation, the P&L Forecaster will generate and plot a forecast of the next 100 peiods (days, weeks, months, trades, etc.).

The there are three insights to be gained from a forecast (or series of forecasts):
- The journey - the drawdowns and run-ups of the path - is as important as the endpoint

- The slope of the path gives a view to the overall edge

- Varying the average trade and standard deviation, which represent ever-changing cycles and volatility, provide some nice insights into what the journey is likely to be like under different market conditions.

The P&L Forecaster adds insight and understanding to the life and times of a P&L.

Henry Carstens
Vertical Solutions