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How about trying a runs test? Assign a "W" for a win and an "L" for a loss.
Calculate the number of runs (ie number of times a "W" is preceded and
postceded (is that a word) by and "L" an vice versa. Compare the number from
your system against a standard to see if there are more runs (indicating more
streakiness) or less.
Bill
Jim Piper wrote:
> Anyone know of a statistical technique to measure the 'streakiness' of a
> system?
>
> I would like to find out whether or not my system exhibits greater
> streakiness than the same system with a randomly generated order of trades.
>
> While I could calculate mean streak lengths and standard deviations for the
> real system, for example, I'm not sure how to go about doing the same thing
> for a randomly generated model, or even if it's possible to do so.
>
> Any help appreciated
>
> Jim
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