|
PureBytes Links
Trading Reference Links
|
Hi!
Does someone know how to calculate the z score through the custom backtester? I could not find any hint in the past posts. I have just the problem that I do not know how to caculate R as the total number of runs.
The Z-Score (sometimes called the standard score) is a statistical calculation.
Z-Score = (N*(R-.5)-X)/((X*(X-N))/(N-1))^(1/2)
where N = the total number of trades (for the formula to work effectively, the Z Score must be calculated for a minimum of 30 trades),
R = the total number of runs (a new run begins each time a profitable trade is followed by an unprofitable one, or vice versa),
X = 2 × W × L,
W = the total number of winning trades,
L = the total number of losing trades.
Many thanks and kind regards, dubi
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
amibroker-digest@xxxxxxxxxxxxxxx
amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|