Abstract:

The profit and risk of ruin were studied for some gambling strategies, such as the doubling bets strategy, Fibonacci betting strategy and the exposure controlling strategy. Moreover, the applications of these strategies in the money management systems were also analyzed and compared. The exposure controlling strategy is most profitable for the trading systems with positive expectations, but if used in the trading systems with negative expectations, it will not be profitable at all. However, Fibonacci betting strategy with appropriate position limit and threshold for periodic profits can ensure profit and avoid the risk of ruin effectively when the payoff ratio of a trading system is greater than 1.618 and the maximal consecutive loss count is well controlled.

Key words: (anti-)martingale strategy; doubling bets strategy; Fibonacci betting strategy; exposure control; retracement