|
PureBytes Links
Trading Reference Links
|
This is exactly what I was talking about. Chi-square with Yates
correction is a special case for stuff like this, UM, but it is
controversial and sometimes it overcorrects, sometimes it
undercorrects. Some statisticians say use it some say don't. Not to
mention the issue of trying to map a discrete distribution of counts
to a continuous distribution. With all that said, I still personally
think it's a great, blunt tool but only if you know the nuances. BTW,
Merrill's article used it to test the statistical significance of
*indicators* and I think that's a very creative application. Also UM,
*your* second result is wrong.
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> For example:
> W=70, L=30 gives 15.21
> W=10, L=90 gives 24.01
> Isnīt here the second result wrong?
> IMHO the ChiSquare formula seems to work
> correct only for W>=50, or it needs some
> modification to handle also W values <50 correctly.
> UM
>
>
> ----- Original Message -----
> From: "Thomas Ludwig" <Thomas.Ludwig@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, November 04, 2003 8:25 PM
> Subject: Re: [amibroker] Backtesting and statistics
>
>
> > On Mon, 3 Nov 2003 23:03:18 +0100, in Amibroker you wrote:
> >
> > > Tomas, for some values the formula IMHO gives bogus results.
> >
> > For example?
> >
> > Regards, Thomas
> >
> > > Instead I would suggest to use the following:
> > >
> > > pWinRate = (NbrOfWinTrades + NbrOfEvenTrades / 2) /
NbrOfTotalTrades
> > >
> > > Of course the inverse is the pLossRate = 1 - pWinRate
> > > The result is between 0..1 (multiply by 100 to get percent
result).
> > >
> > > UM
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|