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RE: [amibroker] Backtest Report Statistics--t Test



PureBytes Links

Trading Reference Links

IF you're cutting and pasting from the report - you can save a lot of time
by opening results.rlst in XL in importing the file as tab delimited. That
should save you some time and a macro to do that and then run your test
would make it seamless (almost).
 
Of course, IF you're already doing this then never mind.
 
d


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From: finops_tonyshomework [mailto:finops_tonyshomework@xxxxxxxxx] 
Sent: Friday, September 17, 2004 2:06 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Backtest Report Statistics--t Test


One thing I find myself doing over and over is testing my backtesting 
results for statistical significance.  I use a t test assuming zero 
return for random trades.  So I cut and paste my results into Excel 
to find out the probability that my results are due to chance.

It would be very nice indeed if this feature were included in the 
built in report...less cutting and pasting, and VERY useful for 
comparing the results of optimizations.  Its not the only way to test 
results, but its an easy one and a good one.  It would be great if it 
were in there, and users could click to sort by the probability of t 
happening through chance.



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