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What should be the next step in my backtesting??
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What should be the next step in my backtesting??

  #71 (permalink)
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treydog999 View Post
It depends on what statistic your trying to find the std error of. For example you want to find the standard error of your average trade. Take the StdDev of all of your trades / sqrt(nTrades). This can be used as a std error approximation for pretty much anything, assuming a normal distribution.



or instead of finding the Std Dev , I could just do 1/ SQRT (N)

this was your shortcut formula you had in an earlier post.

you sure?


I think if you are using a trading platform it will provide the standard dev in the performance profie, but if I am manually backtesting......not quite sure (might have to find a way in excel to do it )

Hope you are being profitable.

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  #72 (permalink)
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budfox View Post
or instead of finding the Std Dev , I could just do 1/ SQRT (N)

this was your shortcut formula you had in an earlier post.

you sure?


I think if you are using a trading platform it will provide the standard dev in the performance profie, but if I am manually backtesting......not quite sure (might have to find a way in excel to do it )

Hope you are being profitable.

Yes, that that is the shortcut forumula i was using. Honestly excel has the std dev tool in it, it shouldn't be to hard to figure out what you want. Manual backtesting or not you should have the stats of every trade you tested, so just use that as your sample set. Use excel and then find out every possible stat about it.

I use R and have custom performance profiles. SO yes it does it but i also know the math required so either way is fine. the math is not hard, and excel has 90% of the functions you need.

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  #73 (permalink)
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budfox View Post
Hello Trey @treydog999


I was reading Pardo's book and he is giving the formula for standard error:



I am wondering how do you determine what the Standard deviation value is to plug in ?



ie. Std Error = ? / SQRT (100)


I know STDDEV is the SQRT of the variance.........but what value to use in the numerator?


Thanks


@Fat Tails


The standard error (of the sample mean) is obtained by dividing the standard deviation of the sample

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by the square root of the sample size.

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  #74 (permalink)
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Fat Tails View Post
The standard error (of the sample mean) is obtained by dividing the standard deviation of the sample

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by the square root of the sample size.

Thanks for the formula Fat TAils, but I was actually asking how to determine the Std DEv part of it.


@ Fat Tails

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budfox View Post
Thanks for the formula Fat TAils, but I was actually asking how to determine the Std DEv part of it.


@ Fat Tails

I have posted the formula for the standard deviation (sigma). You need to apply it to the sample of trades which you have selected for your backtest. Once you have calculated the standard deviation, you divide by the square root of N (number of trades) to obtain the standard error.

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Wondering how to speed up the learning process for becoming proficient at ninjascript

Hi Traderpards,

Really want to speed up the learning curve in becoming a ninjascript backtester.

So I am learning the basic course of C# at Lynda, I would like you to take a look at the course curriculum I have in blue below and tell me what are the main items I should know for NInjascript (of course you dont need to know everything!).

Just put a * to whatI need to know and a ** next to something that is vital for me to know for ninjascript

I plan on finishing this course and then tackling some simple scripts in ninja.

Thank You










3. Program Flow


Reading and writing from and to the Console

Writing conditional statements

Using the switch statement

Using operators and expressions

Using constants and enumerations

Using loops

Using functions and methods


4. Variables


Understanding data types

(Almost) everything is an object

Working with numbers

Working with characters and strings

Understanding variable scope

Understanding type conversion


5. Custom Classes and Objects



Object orientation refresher

Defining a class

Using access modifiers

Defining properties

Understanding value and reference types



6. Collections



Working with arrays

Using array lists

Working with stacks

Working with queues

Using dictionaries


7. More Complex Classes



Overloading methods

Overriding methods

Creating abstract classes and methods

Using sealed classes

Defining structs

Using interfaces



8. Exceptions

Understanding exceptions

Introducing the Exception object

Creating your own exceptions

Re-throwing exceptions


9. File Management



Introducing streams and files
5m 10s
Working with existing files
6m 49s
Working with directory and disk information
6m 15s
Using the Path class
6m 41s
Reading and writing files
9m 4s


10. Some Advanced C#

Using variable parameter lists

Using function parameter modifiers

Using optional and named function parameters

Using the C# preprocessor

Working with delegates

Handling events



11. Garbage Collection

How garbage collection works

The Garbage Collector object

12. Debugging

Common compilation issues

Setting breakpoints and examining code

Using the Debug class


Right now I have learnt everything up to working with arrays.


@traderpards

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  #77 (permalink)
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budfox View Post
Hi Traderpards,

Really want to speed up the learning curve in becoming a ninjascript backtester.

So I am learning the basic course of C# at Lynda, I would like you to take a look at the course curriculum I have in blue below and tell me what are the main items I should know for NInjascript (of course you dont need to know everything!).

Just put a * to whatI need to know and a ** next to something that is vital for me to know for ninjascript

I plan on finishing this course and then tackling some simple scripts in ninja.

Thank You


3. Program Flow

Reading and writing from and to the Console
Writing conditional statements**
Using the switch statement*
Using operators and expressions**
Using constants and enumerations**
Using loops**
Using functions and methods**

4. Variables

Understanding data types**
(Almost) everything is an object
Working with numbers
Working with characters and strings**
Understanding variable scope**
Understanding type conversion**

5. Custom Classes and Objects
Object orientation refresher**
Defining a class**
Using access modifiers*
Defining properties**
Understanding value and reference types**

6. Collections

Working with arrays**
Using array lists*
Working with stacks
Working with queues
Using dictionaries*

7. More Complex Classes

Overloading methods*
Overriding methods**
Creating abstract classes and methods
Using sealed classes
Defining structs*
Using interfaces*

8. Exceptions
Understanding exceptions*
Introducing the Exception object*
Creating your own exceptions*
Re-throwing exceptions*

9. File Management

Introducing streams and files 5m 10s*
Working with existing files 6m 49s*
Working with directory and disk information 6m 15s
Using the Path class 6m 41s
Reading and writing files 9m 4s

10. Some Advanced C#
Using variable parameter lists
Using function parameter modifiers
Using optional and named function parameters
Using the C# preprocessor
Working with delegates
Handling events

11. Garbage Collection*
How garbage collection works*
The Garbage Collector object
12. Debugging
Common compilation issues*
Setting breakpoints and examining code
Using the Debug class

Right now I have learnt everything up to working with arrays.

@traderpards

All of it! It looks like a good course. I wouldn't worry about stacks and queues since nobody uses them but Dictionaries come in especially handy. Abstract classes are good to know but you won't need that for Ninjascript writing. You might not ever need to use an interface either but I actually had to for the Martingale that someone asked me for. So you might just as well go through that part.

And file management is good too... Every so often you'll get someone asking how to read levels from a file so they don't have to load them by hand.

With a couple of exceptions, I don't see a whole lot you'll want to skip... Sorry!

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