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PureBytes Links
Trading Reference Links
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Use the z-score of a Runs Test.
http://www.mypivots.com/articles/glossary.aspx?qterm=Z-Score
Ralph Vince covers this in his books too, including his latest:
"The Handbook of Portfolio Mathematics".
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "foxblade2000invest" <foxblade@xxx>
wrote:
>
> I'm wondering about methods for determining when a system no longer
> works. I've read people suggesting you should ride a system until
it
> stops working, then jump onto another system that's currently
working
> - and focus less on long term historical performance (I'm not
> advocating this).
>
> What methods are there for determing is a system is working -
> obviously if there's a really smooth equity curve, you can look for
> deviation form that curve. But I wonder if you might have to give
back
> your gains before this becomes obvious, in the real world.
>
> Are there other methods to consider?
>
> All conributiosn appreciated,
> Rich
>
------------------------------------
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