"edge"

Next the annual summary report.

This is for the SP market, so to find the number of points divide the $ profit by the multiplier (250).

2002 +17,125/250 = 68.5 pts.
2001 +34,125/250 = 136.5 pts.
2000 +35,225/250 = 140.9 pts.
etc.

Also note the number of trades per-year.

2002 24
2001 24
2000 19
etc.
 

Attachments

There we go !

In fact you have to calculate the

statistical significance of your

trading.

The smaller the number of significance

the greater your edge.....
 
Next process the numbers in a simple basic program.

The results show the long trades ranked:

2002 90.5 or beat 905 of the random tests.
2001 98.1
2000 95.3
1999 70.3
1998 78.1
1997 90.1

From this little test, I would say this system has a tradeable edge.
 

Attachments

Acrary,



With all the numbers you have and a
statistical software program you can
calculate the significance number
and that number defines the edge !
 
The duration of the trades, will

determine spread around the average

trade

The longer the duration of your trades,

the bigger will be the standard

deviation....
 
A friend of mine (with a phd in stats), told me I should've done a chi square goodness of fit test with a significance level of .01. The only problem I had was that it only told me if I had a edge...not the degree. Given that I now use 5,000 samples in the test and combined it with some Monte Carlo testing, I find it to have real value.

This can be combined with other tests to measure the mean and std. dev. to provide a confidence level, but since the number of samples is very small...it will probably only go out to the 95% confidence level that the mean is positive.

Anyway, that's my .02
 
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