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ayrapetyan.vazgen@gmail.com


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.
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.
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.