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On Tue, 4 Nov 2003 23:40:34 +0100, in Amibroker you wrote:
> For example:
> W=70, L=30 gives 15.21
> W=10, L=90 gives 24.01
> Isnīt here the second result wrong?
Indeed;-) The correct result is 62.41.
> 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
Uenal, I think you misinterpret the chi-squared. It doesn't tell you
if a system is profitable or not. It just tells you if the results of
your backtest is statistically significant. In your example the other
figures in the report window will probably tell you that this system
is lousy, and the chi-squared simply confirms that this result is
significant. (Remember: R-W in the nominator is in absolute terms,
thus it makes no difference if R-W >0 or <0, i.e. if winning signals >
losing signals or vice versa.)
Regards, Thomas
--
Thomas Ludwig
PGP key (RSA) available on request.
Fingerprint: 4356 55FF 3412 277A 9741 1CFA B9A6 7B90
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