I am trying to find the correlation between wins and losses by applying Z-Score according to formula attached below. I put them in an array by assigning 1 to wins and -1s to losers. I am trying to determine if winners follow winners or losers follow losers. What I wanna ask is before applying Z-Score into this should I remove non-streaks from this array? (When I include non-streaks I find Z-Score -125 which is not a logical number)
The formula of the z-score is
Z=(N*(R-0.5)-P)/((P*(P-N))/(N-1))^(1/2) N - total number of trades in a series R - total number of series of profitable and losing trades P = 2*W*L; W - total number of profitable trades in the series; L - total number of losing trades in the series.