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August 29, 2015 13:58
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| import numpy as np | |
| ndays = int(1e5) | |
| ntradesday = 7*60*10 | |
| pl = np.sum((np.random.binomial(1, 0.525, (ndays, ntradesday))-0.5)*2, 1) | |
| 1.0 / (len(pl[pl < 0]) / float(ndays) * 252) |
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