Z-score

[Christopher McMurry <cmcmurry@xxxxxxxxxxx>]

Does anyone know anything about z-scores, as detailed in the article by Mike
DeAmicis-Roberts in the January 1998 TASC?

Z-scores are supposed to give you an idea how much a given system tends toward
runs (IOW, a number of wins in a row or a number of losses in a row).

He gives the formula as
Z-score =
N * (R - 0.5) - X
---------------------
((X * (X - N))
-----------------
((N - 1) to the 1/2 power)

Where:
N = total number of trades
X = 2 * total number of wins * total number of losses
R = Number of runs in a series (1 run = 1 switch from a win to a loss or a loss
to a win)

In an example he gives:
num trades = 45
num wins = 24
num losses = 21
z-score = 2.15

Given this formula, I can find no number of runs that gives even remotely close
to this z-score.  Anyone have any ideas?

Thanks,
Chris