|
PureBytes Links
Trading Reference Links
|
If I understand correctly, I am working on a similar issue. My current
search is calculating standard deviations in the outcomes of a system.
On Thu, 26 Oct 2006 01:31:44 -0400, brian.z123 <brian.z123@xxxxxxxxxxxx>
wrote:
> Hello Jerry and Mr Davis,
>
> Thanks for your posts.
>
> Statistical indicators may be something else again.
> I haven't studied that subject.
> I'll make a note of your points and investigate one day.
> "Never waste a good lead", I always say.
> If people want to spin out some info on statistical indicators that
> is fine by me.
>
> What I am working on is a different way to evaluate system
> performance.
> As a result of back-testing we obtain a range of metrics on our
> *system* e.g wins/losses, drawdown etc.
> There are so many of them used in *trading culture*, some with
> questionable value.
> Basically we are evaluating a data sample comprised of individual
> trades and making inferences about a larger group of trades based on
> that sample i.e the larger population of future trades.
> How can we do that in the most accurate possible way?
> This type of problem is what statistics is based on except it is
> generally orientated to solving *academic* problems.
> Statistics often uses coin flipping, card games and roulette as
> examples when applying statistical techniques but stockmarket
> trading seldom gets a mention.
> I am looking for a writer who has applied statistical methods to the
> problem of evaluating trading systems.
> Monte Carlo simulation is one example of this type of application.
> I am looking for others.
>
> Hopefully there is an author around who can take me further on the
> subject.
>
> BrianB2.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Jerry Laster" <laster@xxx> wrote:
>>
>> Not really. My guess is that brian is trying to find a book on the
> use of
>> statistics applied to stock trading.
>> Haven't read any books that deal with probability of trades and
> measuring
>> them. The most advanced use of statistics I know is the afore
> mentioned
>> Van Tharp book and other books that deal with money management
> (but not
>> with probabilistic outcomes for set-ups or patterns (if that's
> what brian
>> is looking for)).
>> Some indicators like sigmas and linear regressions are
> statistical
>> indicators. David Elliott uses a particular formula for Bollinger
> bands
>> and transforms them into statistical indicators (stocks that break
> certain
>> levels are more likely to continue up or down trends, etc.)
> because they
>> fall outside the bell curve of non trending stocks.
>> Check David Elliott stuff, I think he is trying to apply
> statistics to
>> trading, but the only book he wrote is his 1998 guide to make a
> million in
>> the crash of 2000.
>>
>> jerry
>>
>>
>> On Wed, 25 Oct 2006 19:36:58 -0400, mrdavis9 <mrdavis9@xxx> wrote:
>>
>> > Please correct me if I am wrong, but aren't most of TJ's AFL's
> such as
>> > the
>> > CCI, RSI, and STOCHASTICS, statistical indicators? Ron D
>> >
>> >
>> >
>> >
>> >
>> > ----- Original Message -----
>> > From: "brian.z123" <brian.z123@xxx>
>> > To: <amibroker@xxxxxxxxxxxxxxx>
>> > Sent: Wednesday, October 25, 2006 8:05 AM
>> > Subject: [amibroker] OT: Statistics
>> >
>> >
>> >> Statistics for traders.
>> >> Can anyone recommend a book on statistics written specifically
> for
>> >> traders or that applies statistical methods to trading examples?
>> >> I am looking for an author who has done a good job on the
> subject.
>> >> Even if it is only a section of a book that would do provided it
>> >> goes beyond a superficial treatment of the subject.
>> >>
>> >> For anyone interested here is a link to a very good
> introduction or
>> >> refresher for statistics.
>> >> The HTML *book* takes your from 0-50kph in approx 100 pages.
>> >> Please note; the site does contain a lot of advertisements but
> it is
>> >> also a mini portal for stats and it does have links to free
>> >> statistical stuff and free tools.
>> >>
>> >> Outside of writing indicators I find statistics to be one of
> the few
>> >> maths disciplines that has a high degree of relevance to
> trading.
>> >>
>> >> http://davidmlane.com/hyperstat/index.html
>> >>
>> >> BrianB2.
>> >>
>> >>
>> >>
>> >>
>> >> Please note that this group is for discussion between users
> only.
>> >>
>> >> To get support from AmiBroker please send an e-mail directly to
>> >> SUPPORT {at} amibroker.com
>> >>
>> >> For NEW RELEASE ANNOUNCEMENTS and other news always check
> DEVLOG:
>> >> http://www.amibroker.com/devlog/
>> >>
>> >> For other support material please check also:
>> >> http://www.amibroker.com/support.html
>> >>
>> >> Yahoo! Groups Links
>> >>
>> >>
>> >>
>> >>
>> >
>>
>>
>>
>> --
>> Kind regards,
>> Jerry
>>
>
>
>
--
Kind regards,
Jerry
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
--
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.1.409 / Virus Database: 268.13.27/517 - Release Date: 11/3/2006
|