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Glen,
On Sun, 15 Aug 1999 22:34:21 +0200, you wrote:
>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?
Imo, this "median rank" calculation is *a part* of an implicit
integration formula (with different possible formulas for different
integration methods, like right-angled, trapezoidal, etc.) This way a
kind of "weighting" is done for the given discrete values to represent
them appropriately in the context of all other points. Because the
integration formula is "broken up" in different steps, it is not easy
to describe the "meaning" of every single constant.
I have used the numerical recipe as described for several win & loss
distributions, and error calculations showed sufficient accuracy, if
we have an appropriate number of trades. So I'm satisfied with the
procedure without analyzing explicitly every single step ...B-)...
>Also, how do you adapt the calculations to deal with negative results
>(losses)?
You may transform (and re-transform afterwards) your wins & losses by
adding an appropriate number to all trading results.
A better way is to set-up separate Weibull distributions for wins and
losses (which gives a *very nice* representation of the unsymmetrical
shapes). For this, you have only to multiply the values of the loss
distribution by -1 ...B-)).... This way I got the best results and
the opportunity to *concentrate on the losses* during system
optimization, and Weibull's "beta" then represents the "characteristic
win" and " characteristic loss", respectively.
mfg rudolf stricker
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