|
PureBytes Links
Trading Reference Links
|
Dennis,
That's what I found as well. I'm still not sure which version is
correct. You're correct about the perfect U value. I guess I overlooked
the meaning of that. Thanks for the input.
Trey
-----Original Message-----
From: DH [mailto:catapult@xxxxxxxxxxxxxxxxxx]
Sent: Tuesday, March 08, 2005 3:29 PM
To: Omega List
Subject: Re: Theil's U
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
|