Re: Optimal f and system optimization

["Glen Wallace" <gcwallace@xxxxxxxx>]

Thanks for the Weibull Analysis info.  It looks really interesting.  I have
attached an extract from the .pdf article. Could you please explain the
rationale for the author's calculation of "Median Ranks"?  Specifically, why
does he subtract 0.3 from the numerator and add 0.4 to the denominator?

Also, how do you adapt the calculations to deal with negative results
(losses)?

Regards.

----- Original Message -----
From: rudolf stricker <rst@xxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: August 14, 1999 02:37
Subject: Re: Optimal f and system optimization

> Sorry for the delay, I had to reconstruct a "frozen" hdisk. But now
> all who inquired should have received the WEB article (pdf) and the
> accompanying xls-file on the calculation of Weibull distributions from
> discrete data in Excel.
>
> But be warned:
> The article http://www.qualitydigest.com/jan99/html/body_weibull.html
> does not deal with trading but with the reliability of jack-in-the-box
> designs. So we have to adopt the given numerical recipes  to our need.
> But because Weibull's distribution is heavily used to represent rare
> events (eg in failure analysis in mechanical engineering) it can also
> very nicely represent win and loss distributions in trading systems.
>
> On Mon, 19 Jul 1999 10:39:17 -0700, Glen Wallace wrote:
>
> >What distribution to use, is the $64,000 question.  Until that question
> >is answered, we just have to limp along with the tools we have and
> >a firm stop loss.
>
> Imo, the Weibull distribution is a considerable contribution to answer
> the above question. Especially the Weibull parameter beta (=
> characteristic life = characteristic win or loss, when appropriately
> applied to trading) provides a valid representation of the
> "tail-iness" of win or loss distributions. Appropriately used in the
> "goal function" for system optimization, it can help to optimize the
> shape of e.g. loss distributions, which works hand in hand with the
> "optimal f" optimization.
>
> Have fun with Weibull's distribution.
>
> mfg rudolf stricker
> | Disclaimer: The views of this user are strictly his own.



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