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Old 08-24-2008, 10:53 AM
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Degree in statistics (mathematical statistics)

Anyone here got a college/university degree in stats, I want to ask about appropriate tests to get confidence levels for various trade signal combinations and possibilities...

I believe it is possible to find/create a methodology with at least 90% confidence to be able to make 30 pips in a trade using a stop of between 15-60 pips.

That means 9 times out of 10 the trade will produce a profit of 30 pips. 1 x out of 10 the trade will make a loss of 60 pips (max) using statistical analysis. It may also be possible to further reduce the risk (of getting more than 1 x 60 loss in a row for example).

If you can direct me to the tests I need to carry out and the amount of data to make it a "fair test" that would be nice.

So ideally, you can place 1000 trades, 900 will be profitable, the more trades placed, the more close to being exactly 90% probability of making the 30 pips.

PM me if interested in this type of project...
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Old 08-24-2008, 11:25 AM
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:: I'm listening, I use SPSS.

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Old 08-24-2008, 09:10 PM
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All you need is a walk forward predictive algorithm for a high statistical probability of future price points.

Simple right!
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Old 08-25-2008, 01:25 AM
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hi

good idea , but you need find some good fx system first to make it works .
Try MA Cross system

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Old 08-25-2008, 10:39 AM
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I assume you want to know about techniques that will allow you to establish if the performance of system A is significantly different from system B ?

If the distribution of gains and losses generated by your various systems are normally distributed you could use a simple students T test.

The problem is that the distributions in return from any system with a positive or negative edge will by definition exhibit a degree of kurtosis and skew, so something as simple as students T probably wont be appropriate

You need to be looking at non-parametric methods, probably stuff like the Mann Whitney U test or Wilcoxon Signed Rank Test

Did some stats at university but its a long time ago, but I'm not a statistician by any means
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