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visits member for 2 years, 2 months
seen Nov 4 at 23:36

ayrapetyan.vazgen@gmail.com


Nov
4
comment Optimization metric that takes into account number of trades vs expectancy
I'm not sure I understand, my last statistics exposure was a while ago in college. See my comment above, does that reword the question to allow for a simpler answer?
Nov
4
comment Optimization metric that takes into account number of trades vs expectancy
I think what I need is a way to identity "the point of diminishing returns" of increases in expectancy as the number of trades gets reduced. For example if the first increase of 10 in expectancy reduced the trades by 100, but the second increase of 10 reduces the trades by 500, then the second increase is not worth taking.
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.