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A Quant's perspective on building a trading system.
I'm having trouble viewing the attached file code. It won't open on my computer, what type of program do I need to open the file? Also, I'm on my Mac right now which could be an issue,.
Formula is in the 2013 OCT issue of Stocks and Commodities.
"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Which code are you having issue with? If you are using a make, what are you trying to open it with?
"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Great question, they are two different items in statistics.
T - Score (aka T-statistic) = (Sample Mean - Hypothesized Sample Mean) / (Sample Standard Deviation / Square root of the sample size)
You can reference the second attachment called "the paradigm shift" on how to look at this with a trading system. Or do some research on Van Tharp's SQN, but keep in mind he uses 100 instead of the square root of sample size.
The Students T Distribution, does have a t-score associated with it for hypothesis testing. But, a Student's t Distribution is a distribution curve usually used on hypothesis testing with a sample size of less than 30. It is basically a normal distribution curve with thicker tails and lower peak. The higher the sample size is the more "normal" a Students T Distribution approaches. Frankly, there is a high level of sampling error when only dealing with a small number of trades. Since I am hoping that any test we run has much more trades than 30 the Student T test would not be used.
I might have a typo on the flow chart as I compare t-score with a critical t value (might be what I meant). The critical t-value is the point that you want the t-score to be above, otherwise the system performance might have been caused from just luck and should not have any statistical confidence around the results. I can't seem to find where it says t value, only Critical (t) value; am I missing it?
"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
On the previous page you attached AhrensBB and Soderstroms cloud files. I'm not quite sure what type of file it is. I was assuming it was a file containing your code for those specific indicators, so mostly plain text, when I tried to open it nothing seemed to happen. It would clone itself into another ZIP file with an added extension CPGZ.
I apologize, I failed to mention that I am using Ninjatrader for the trading system and indicators. These are .CS files (C#) that Ninatrader uses. They can be opened with Ninjatrader of my recommendation Visual Studio..
When using a MAC look into a program called XCode, it will be able to open a .CS file as well.
Cheers,
Sody
"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
