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One suggestion is to look at the auto-correlation -- the correlation of
subsequent trades. For a "streaky" system, the auto-correlation will be
positive, for a random system the auto-correlation will be zero.
If you have Excel, just take your list of profits and losses, then copy and
paste it to the right and up one cell, then use the CORREL() function (if I
recall correctly) on the table.
My system has a modest negative auto correlation -- a big win, for example,
tends to be followed by a loss. It isn't very prominent, though, and not a
strong enough signal to cause me not to take the trade following a big win.
Let me know what you find.
Aaron Schindler
----- Original Message -----
From: "Jim Piper" <jimpiper100@xxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, May 14, 2002 10:04 AM
Subject: Measuring System Streakiness
> 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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