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> I also create a t-test of the ave returns.
How do you do that?
--- In amibroker@xxxxxxxxxxxxxxx, Rajiv Arya <rajivarya87@xxx> wrote:
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> I also create a t-test of the ave returns.
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> The in-sample is almost always significant
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> And try to have the out of sample t-test greater than 1.64, which happens for about 50% for the out-of sample results.
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> To: amibroker@xxxxxxxxxxxxxxx
> From: dloyer123@xxx
> Date: Sat, 9 May 2009 03:03:16 +0000
> Subject: [amibroker] Re: Expectancy - and related--specifically K-rato
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> --- In amibroker@xxxxxxxxxxxxxxx, Rajiv Arya <rajivarya87@> wrote:
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> > I like to compute a ratio of the out-sample metric and divide it by the in-sample metric.
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> > And I like to look for multiple runs of out-sample/in-sample ratio to be above 0.5 and with little fluctuation.
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> That is similar to Pardo's WFE (Walk forward efficiency), or a measure of how much curve fitting inflated test results. Pardo suggests taking the concatenated out of sample returns and divide by the result treating the entire combined data set as in sample. Anything below 0.65 will probably not trade well live. The higher, the better.
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> _________________________________________________________________
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