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Lionel,
I've attached a link to an article by Timothy Masters. He describes
using Monte Carlo analysis to validate the worthlessness of trading
system. Furthermore, he discredits using T-tests.
What is your opinion of the article and using stats. to valuate the
worth of the system?
http://www.evidencebasedta.com/MonteDoc12.15.06.pdf
Eric
If you would like further research on using t-test, you may wish to
buy Katz' book "Encyclopedia of Trading Systems".
--- In equismetastock@xxxxxxxxxxxxxxx, "Lionel Issen" <lissen@xxx>
wrote:
>
> My understanding of the t-test is that it is used to determine if
you have
> enough sample points for your desired level of precision.
>
>
>
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
> On Behalf Of erc90
> Sent: Sunday, September 30, 2007 1:03 AM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Evaluating a Trading System's
Chance for
> Success
>
>
>
> How do I test the likelihood that a system will repeat itself in
the
> future? Moreover, how can I identify when a successful system
begins
> to fail and breakdown? To find the answer to these two questions,
one
> must understand basic inferential statistics. I however have hit a
> brick wall in my analysis.
>
> Does anyone have experience using t-tests to improve the
likelihood
> that a system will be successful in the future?
>
> I've moved beyond trying to optimize my system for total returns.
I'm
> now trying to optimize my system so that it has a high chance for
> success.
>
> I would appreciate any suggestions one might provide!
>
> Eric
>
>
>
>
>
> [Non-text portions of this message have been removed]
>
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