Recent content by shanoballs

I am not an expert on this but i would say first figure out if the strategy has positive expectancy. If the expectancy is positive then do a randomness test to see if the performance is due to luck. More info: Expectancy: http://tradermike.net/2004/05/trading_101_expectancy/...

Thank you for the responses. However, I think I should be a bit clearer about what I am asking. I am aware that in the real world 5 periodic returns is not enough for any kind of analysis, I also know that there are other performance metrics and hypothesis tests that can be applied. But my...

Hi, i just have a simple hypothetical question, this is not a test of an actual strategy, i just want to know the method of testing to see if a strategy is beating the market. For example, lets say my strategy makes these point gains monthly on MSFT: Month Point Gain 1 2.55 2...

if you have not already seen this: http://www.elitetrader.com/vb/showthread.php?s=&threadid=33654&highlight=system+development+with+acrary

Your results also have the characteristics of a strategy that has been over optimized. of course it is hard to tell by just looking at an equity curve.

First you would need to see the probability of your profitable results being just luck. once you do that, you will have a p value. for example, lets say the hypothesis test shows you that there is 20% chance (p value of .2) of your results being random. Then if you decide to trade this...

sure, Here is one from UC Irvine, if you have a basic understanding of stats, it is pretty straight forward. PM me if you want more information on actually doing the test : http://ideas.repec.org/p/wpa/wuwpfi/0205003.html

You should put the results you attained to the test. there is an good possibility that the results you attained are simply due to luck. the test will show you if your strategy is robust, or if it has simply gotten lucky over the tested period. There have been many papers published on testing...

You can do a hypothesis test to see the probability of obtaining the same results due to luck. This would tell you a lot about the edge and the robustness the strategy might have. from personal experience, which is not much, i can tell you that equity curve does look too good to be true, but i...

The saddest thing I've read on ET in a while, keep it up.

I have been trying to do something like this, but have not had any success, how much improvement does combining your strategies make to your draw downs and etc?

"Be wiser than other people if you can; but do not tell them so." - Lord Chesterfield

i was not aware of these facts. i guess i shouldn't put too much emphasis on self proclaimed market practitioners or PhD candidates.

so judging from the fact that you come from a statistics background, I'm sure you have analyzed your trading RESULTS for randomness? if so, what is the probability that the results you attained are due to randomness?