If I understand correctly, I am working on a similar issue. My current search is calculating standard deviations in the outcomes of a system.
On Thu, 26 Oct 2006 01:31:44 -0400, brian.z123 <[EMAIL PROTECTED]> wrote: > Hello Jerry and Mr Davis, > > Thanks for your posts. > > Statistical indicators may be something else again. > I haven't studied that subject. > I'll make a note of your points and investigate one day. > "Never waste a good lead", I always say. > If people want to spin out some info on statistical indicators that > is fine by me. > > What I am working on is a different way to evaluate system > performance. > As a result of back-testing we obtain a range of metrics on our > *system* e.g wins/losses, drawdown etc. > There are so many of them used in *trading culture*, some with > questionable value. > Basically we are evaluating a data sample comprised of individual > trades and making inferences about a larger group of trades based on > that sample i.e the larger population of future trades. > How can we do that in the most accurate possible way? > This type of problem is what statistics is based on except it is > generally orientated to solving *academic* problems. > Statistics often uses coin flipping, card games and roulette as > examples when applying statistical techniques but stockmarket > trading seldom gets a mention. > I am looking for a writer who has applied statistical methods to the > problem of evaluating trading systems. > Monte Carlo simulation is one example of this type of application. > I am looking for others. > > Hopefully there is an author around who can take me further on the > subject. > > BrianB2. > > > --- In [email protected], "Jerry Laster" <[EMAIL PROTECTED]> wrote: >> >> Not really. My guess is that brian is trying to find a book on the > use of >> statistics applied to stock trading. >> Haven't read any books that deal with probability of trades and > measuring >> them. The most advanced use of statistics I know is the afore > mentioned >> Van Tharp book and other books that deal with money management > (but not >> with probabilistic outcomes for set-ups or patterns (if that's > what brian >> is looking for)). >> Some indicators like sigmas and linear regressions are > statistical >> indicators. David Elliott uses a particular formula for Bollinger > bands >> and transforms them into statistical indicators (stocks that break > certain >> levels are more likely to continue up or down trends, etc.) > because they >> fall outside the bell curve of non trending stocks. >> Check David Elliott stuff, I think he is trying to apply > statistics to >> trading, but the only book he wrote is his 1998 guide to make a > million in >> the crash of 2000. >> >> jerry >> >> >> On Wed, 25 Oct 2006 19:36:58 -0400, mrdavis9 <[EMAIL PROTECTED]> wrote: >> >> > Please correct me if I am wrong, but aren't most of TJ's AFL's > such as >> > the >> > CCI, RSI, and STOCHASTICS, statistical indicators? Ron D >> > >> > >> > >> > >> > >> > ----- Original Message ----- >> > From: "brian.z123" <[EMAIL PROTECTED]> >> > To: <[email protected]> >> > Sent: Wednesday, October 25, 2006 8:05 AM >> > Subject: [amibroker] OT: Statistics >> > >> > >> >> Statistics for traders. >> >> Can anyone recommend a book on statistics written specifically > for >> >> traders or that applies statistical methods to trading examples? >> >> I am looking for an author who has done a good job on the > subject. >> >> Even if it is only a section of a book that would do provided it >> >> goes beyond a superficial treatment of the subject. >> >> >> >> For anyone interested here is a link to a very good > introduction or >> >> refresher for statistics. >> >> The HTML *book* takes your from 0-50kph in approx 100 pages. >> >> Please note; the site does contain a lot of advertisements but > it is >> >> also a mini portal for stats and it does have links to free >> >> statistical stuff and free tools. >> >> >> >> Outside of writing indicators I find statistics to be one of > the few >> >> maths disciplines that has a high degree of relevance to > trading. >> >> >> >> http://davidmlane.com/hyperstat/index.html >> >> >> >> BrianB2. >> >> >> >> >> >> >> >> >> >> Please note that this group is for discussion between users > only. >> >> >> >> To get support from AmiBroker please send an e-mail directly to >> >> SUPPORT {at} amibroker.com >> >> >> >> For NEW RELEASE ANNOUNCEMENTS and other news always check > DEVLOG: >> >> http://www.amibroker.com/devlog/ >> >> >> >> For other support material please check also: >> >> http://www.amibroker.com/support.html >> >> >> >> Yahoo! Groups Links >> >> >> >> >> >> >> >> >> > >> >> >> >> -- >> Kind regards, >> Jerry >> > > > -- Kind regards, Jerry Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html 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: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
