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Jerry,
Yes, I definitely favour StdDev from amongst the bunch of readily
available measures.
I have connected the statistical dots with broadbrush strokes by
myself and I like the pictures that I see. That is why I am
deferring to the experts for training in the finer points.
I do have some definite opinions but I don't want to put them out
there until after I consult the oracles and allow time for it all to
mature.
I have ordered a book by Lars Kestner to act as my second maths
teacher since 1968.
QuantTrader was the first.
*Quantitative Trading Strategies*.
I am not sure what enlightenment it offers on StdDev but I am not
overly concerned as the intitial reading is intended to provide
scope and I will target particular areas later if necessary.
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "Jerry Laster" <laster@xxx> wrote:
>
> 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@xxx>
> 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@> 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@> 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@>
> >> > 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
>
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