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Looks like there are a couple of versions of the U statistic.
http://www.math.yorku.ca/Who/Faculty/Monette/Ed-stat/0308.html
That said, I'm not sure it gives you much useful information about a
filter. A formula that didn't filter the data at all, Filter = Price,
would have a perfect U value of zero. My idea of a perfect filter is one
that gets rid of the noise without lagging the signal and I don't think
the U statistic of price vs. filter measures that very well. You'd
probably do better comparing your realtime filter to one that is allowed
to look at future data, e.g. a centered moving average in the simplest
case. Then you could use any number of statistical measures to assign a
performance rating to your realtime filter.
--
Dennis
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