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Anyone know of a statistical technique to measure the 'streakiness' of a
system?
I would like to find out whether or not my system exhibits greater
streakiness than the same system with a randomly generated order of trades.
While I could calculate mean streak lengths and standard deviations for the
real system, for example, I'm not sure how to go about doing the same thing
for a randomly generated model, or even if it's possible to do so.
Any help appreciated
Jim
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