|
PureBytes Links
Trading Reference Links
|
Rather than exclude outliers altogether, it might be more valuable to look
at the Standard Deviation of, say, all profitable trades and reduce the
average outlier by 1.64 SD's - this way you can be 95% confident that the
system result would not occur by chance, with the outliers "scaled back"
towards the majority of trades - if it is still a good system, it may still
be worthy of further investigation.
Rus
-----Original Message-----
From: Chris Edwall [mailto:cedwall@xxxxxxxx]
Sent: 26 May 1999 22:56
To: FXTrader; omega-list@xxxxxxxxxx
Subject: Re: System Analysis
> It is a good practice, when analyzing trading systems, to subtract out the
> top 5% & the bottom 5% of the all trades. This will help you determine if
> there is real consistency in the system. The truth will be known then.
> There also was a article in Omega Magazine a few months back that outlined
> some great thoughts to keep in mind when building or testing trading
> systems. Sorry can't recall the issue. Anyone know?
The new TS2000i system report (using Rina Systems methodology) excludes
"outlier" trades that are greater than 3 standard deviations from the mean,
I believe. I'd say this new system report is one of the better features of
TS2000.
|