The most rational casino goers I ever came across were a couple who went to a casino every month with £250, which was their “entertainment budget”. They left when either they ran out of money or they doubled it. If they left in pocket, they spent the balance on going out somewhere else. A significant win might mean a box at Covent Garden or a weekend away. But their root assumption was that they were going to spend that £250.
Few investors are so rational.
Edit - some of the posts above should be read in conjunction with Fred Schwed’s But Where are all the Customers’ Yachts, which addresses everything but algorithmic trading per se, which did not exist at the time. I can honestly say this book has saved me many thousands of pounds.
