|
PureBytes Links
Trading Reference Links
|
> > One of the problems we have, in evaluation, is that 'academic'
> > statistics filtered into freelance trading via institutional
> > investing - nothing against academics or institutional traders but
> > their focus is somewhat different to freelance traders.
I think I am showing my biases in this regard.
I want 'applied stats for traders' boiled right down and I guess I am
not entirely happy when I don't get it.
> ... but I'm not sure what you mean with PowerFactor - isn't that a
> concept in electrics?
PowerFactor is my own twist on ProfitFactor - I claim that it is a
more meaningful metric (so far I have only talked about it in a
piecemeal way, via this forum).
Re the signifance of W/L ratios
I checked my files and I still have the Excel files that 'prove'
that, for a no win (random walk) system StandardDev%(W/L ratio) ==
SampleError%, so the standard probabilities for StDev of Normal
distributins can be used to estimate significance (the theory is rock
solid).
I am going to post that file this month (since people are making
important decisions based on the info they get in this forum I will
post the proof).
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxx>
wrote:
>
> Brian,
>
> thanks for your detailed answer!
>
> >
> > At page 91,in his book, (Entries and Exits chapter) Howard gives
some
> > very good (random entry) examples of how we can get an estimation
for
> > the 'standardized binomial expectancy' of any market i.e. you can
get
> > the mean expected wins for the actual market you are testing your
> > system in and use that in the Z score calculation - I think you
would
> > be better to use random entries with an exit after a set number of
> > days == the average time your system trades are in the market.
>
> That's a good hint - thanks for that.
> >
> > I am still learning AB myself so I am not sure if we can implement
> > Howards Z equation directly in AB - you will probably have to do
it
> > outside somewhere - I haven't figured out how we can get the SD
of a
> > trade series (from a backtest) in AB - anyway we don't have built
in
> > stats tables (I suppose you could manually plug in the typical Z
> > scores).
> >
> > I'm exporting to Excel and doing my evaluations there, but I don't
> > get that fancy.
>
> I also think that it can only be done in Excel (or, perhaps,
> OpenOffice).
>
> > > > What do you think about this metric?
> >
> > I think it is a very conservative measure.
>
> Obviously!
>
> >
> > One of the problems we have, in evaluation, is that 'academic'
> > statistics filtered into freelance trading via institutional
> > investing - nothing against academics or institutional traders but
> > their focus is somewhat different to freelance traders.
>
> You're probably right. On the other hand, Arthur Merrill wasn't a
pure
> academic. He was the long-time editor of "Technical Trends" and
> considered a legendary market guru. I mean, he wouldn't have had
that
> reputation if his methods had been of merely academic or
theoretical
> value. ;-)
>
> >
> > Neither is absolutely true, so the stats we are using are
> > approximations (of course the data we are using is only an
> > approximation anyway) - hence the doubts about Merrill's Chi.
>
> I think I inderstand what you're getting at, and I'm looking
forward for
> what you will present to us in the UKB some day ...
>
> >
> > Based on that work I am using PowerFactor, with sample error, to
> > guestimate significance (I can quickly do that in my head).
>
> ... but I'm not sure what you mean with PowerFactor - isn't that a
> concept in electrics?
>
> >
> > This problem is especially prevalent in mid - long term trading -
say
> > indicators with long lookbacks are used - then the number of
signals
> > available tends towards becoming a rare event and the trader then
can
> > only see a small part of the longterm (10000 plus) trades - the
> > trader soon runs out of clean data and can't get high enough trade
> > counts.
> >
> > That is why I like shorter term trading (intraday to 2-3 day
cycles)
> > where I can take advantage of statistical smoothing (I quickly
> > approach my theoretical edge i.e. relative to the calendar days).
>
> I agree. That's what I'm also heading to.
>
> > As I said - please use 'my' theories at your own risk, at least
until
> > after I post on the topic, and the mathematicians in the forum
have a
> > chance to bash up my hypotheses.
>
> I'm anxiously waiting for your results, and in the meantime I will
> google for the "brian method" to get some deeper understanding. ;-)
>
> Thanks again - it's always a pleasure to read your posts!
>
> Best regards,
>
> Thomas
>
------------------------------------
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/
|