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Hi Tomasz,
Sunday, October 5, 2003, 7:23:38 PM, you wrote:
TJ> Shortly on Standard Error figure: standard error is a part of
TJ> linear regression analysis. For simple description see this:
TJ> http://www.numericalmathematics.com/least_squares.htm
TJ> Standard error of equity describes how much equity line
TJ> fluctuates around linear regression of it.
TJ> Note that standard error grows with your initial capital.
TJ> If the same system is tested usgin 10x more initial capital
TJ> then standard error will grow also 10x (assuming % commissions).
TJ> So you get high figures because your starting capital expressed
TJ> in YEN is high. You may prefer to divide standard error by starting capital
TJ> to get some more resonable values and to be able to compare
TJ> figures when you are using different initial capital.
Okay, so a small number is good, right? If I divide by total capital
allotted to each equity (not aggregate total capital), I get a
fractional number. Is that meaningful?
Yuki
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