meta user
network profile
| bio | website | |
|---|---|---|
| location | New York, United States | |
| age | ||
| visits | member for | 7 months |
| seen | Apr 30 at 18:04 | |
| stats | profile views | 15 |
ayrapetyan.vazgen@gmail.com
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Nov 19 |
awarded | Teacher |
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Nov 19 |
answered | Main backtesting & trading solutions: QuantFactory, Deltix, etc. |
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Oct 18 |
accepted | Major FX pairs - Pentahedron Data Structure |
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Oct 10 |
asked | Major FX pairs - Pentahedron Data Structure |
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Oct 10 |
accepted | Detrending price data for analysis of signal returns |
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Oct 7 |
asked | Detrending price data for analysis of signal returns |
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Oct 7 |
awarded | Scholar |
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Oct 7 |
accepted | Running a simple alpha estimation test for statistical significance of a signal |
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Oct 4 |
awarded | Supporter |
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Oct 4 |
comment |
Running a simple alpha estimation test for statistical significance of a signal I ultimately want to be able regress across a number of user defined metrics that are recorded right before the signal (bar range right before the signal, distance to previous high, value of a different indicator right before signal, etc) to see if there are relationships there that can yield new information about entries with a statistically high chance of turning profitable. |
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Oct 4 |
comment |
Running a simple alpha estimation test for statistical significance of a signal Thank you for taking the time to help. It seems the test you proposed could be what I need. If I understand correctly, m is the regression coefficient and if it varies significantly from 0.0 then there is a correlation between the trade returns and time. But how does that relationship imply my signal is statistically significant? Perhaps I'm misunderstanding the interpretation of step 4. |
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Oct 2 |
comment |
Running a simple alpha estimation test for statistical significance of a signal Thanks for your reply. Looking into parametrical tests for trading signals I found "Trading with a 't' Signal Extraction Using Non-Parametric Newey-West Style t-statistics" (Cameron Rookley). It seems this may be a good example of what I'm looking for but I'll have to brush up on some statistics concepts before I can understand this paper fully. If anyone can propose a simple, practical parametric (or otherwise) test in the meanwhile that I can use to evaluate statistical significance of my particular signal, I would be much obliged. |
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Oct 2 |
awarded | Student |
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Oct 2 |
answered | Encyclopedia of Statistical Tests |
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Oct 2 |
asked | Running a simple alpha estimation test for statistical significance of a signal |
