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Learning statistical analysis: Step by Step


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Learning statistical analysis: Step by Step

  #11 (permalink)
 
jackbravo's Avatar
 jackbravo 
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wldman View Post
Are you trying to develop a statistical trading model? I have/had one that I liked but I am no longer pointed at black/grey box and my time frame has expanded. BUT I'd revive it if you wanted to work on it. I think I can find the documents.

Dan

Even more basic really. I have 1001 ideas I'd like to test, and I don't really know how to do it in Sierrachart. So my goal from this thread to learn the basics of how to do it: how do I create an equation that for example, will buy a 15 minute bar at the close, then test forward to see the optimal stopping point, in terms of #of bars, ATR, etc.. Then how do I figure out if my numbers are any better than random, what the volatility of the returns are for this test, etc.

So I'm really trying to start from the ground up, make sure I don't miss anything along the way.

"It does not matter how slowly you go, as long as you do not stop." Confucius
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  #12 (permalink)
 iantg 
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jackbravo View Post
I guess I don't know how the odds are calculated in the first place. I drew a table of my understanding so far. I get that it's a 50/50 shot from flat to +2/-2, but how do you calculate the odds at -1 tick starting? Thanks for any help!







I think when I put 25% and 75% down originally, I meant .25 = 1 tick and .75 = 3 ticks, but instead I put percentages. So these really should be 33.333% and 67% respectively. But they represent .75 and .25 left to go to hit the original targets.

I am not 100% sure about the betting line honestly, to say something would pay 2 to 1, to me just implies that it should have twice the likelihood of occurring. If looking at this on a # of ticks basis, you would be correct in saying that this has 3 to 1 odds, because .75 (3 ticks) is 3 x .25 (1 tick), but I was looking at from a percentage standpoint, where the odds of winning at 33% are half the odds of losing at 67%. So this is where I came up with 2 to 1. I should probably figure out if the percentage method is right, or if using the absolute figures is right before I become a bookie...

But in practice, I don't typically use betting lines, I just go with either the actual tick advantage or disadvantage or their corresponding percentages. The betting line is just illustrative.

Hope this helps.

Ian

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  #13 (permalink)
Ozquant
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jackbravo View Post
Even more basic really. I have 1001 ideas I'd like to test, and I don't really know how to do it in Sierrachart. So my goal from this thread to learn the basics of how to do it: how do I create an equation that for example, will buy a 15 minute bar at the close, then test forward to see the optimal stopping point, in terms of #of bars, ATR, etc.. Then how do I figure out if my numbers are any better than random, what the volatility of the returns are for this test, etc.

So I'm really trying to start from the ground up, make sure I don't miss anything along the way.

The best advice i can give is start with a plan , list your objectives then make a list of bullet points that may help fulfill your objective . I use a structured type analysis and work on 1 bullet point at a time . getting the best out of that parameter individually till im relatively happy before moving onto next bullet point , then once ive got a workable set of bullet points i will then begin adding them together and work on how they relate to each other ( optomize ) . A few podcasts from better system trader or chat with traders might help in building the skillset for the task at hand .

https://chatwithtraders.com/podcast-episodes/

... structured analysis here https://chatwithtraders.com/ep-140-jimmy-soni/


Better System Trader

Start of a long and arduous journey , good luck with it . This is the road to the top of the mountain imo

A system or algo is basically a flow chart / decision tree , break down each question/ fork in the process . list what needs to be known to answer the question in a binary sense , there may be several different ways to answer the ? , seek them all out and find the pros and cons . i have a basic setpoint for all questions , can it beat a coin toss and if it cant i have a bin handy to toss it in . I am the guy who will never have a system with a less than 50% winrate and there will be many debates on the pros and cons of this , The probability curve helps in that discussion but thats for another time ... ok ive typed enough

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  #14 (permalink)
 
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 wldman 
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What I built was really a bar filter based on statistics. If it moves this far then buy/sell as the likelyhood is this % that it moves here before it moves there. I called it Tom & Jerry to honor the constant battle. It was fun and it made money but like I said I'm not moving toward higher frequency, higher intensity, or more work. Happy to engage with anyone that cares. Dan


jackbravo View Post
Even more basic really. I have 1001 ideas I'd like to test, and I don't really know how to do it in Sierrachart. So my goal from this thread to learn the basics of how to do it: how do I create an equation that for example, will buy a 15 minute bar at the close, then test forward to see the optimal stopping point, in terms of #of bars, ATR, etc.. Then how do I figure out if my numbers are any better than random, what the volatility of the returns are for this test, etc.

So I'm really trying to start from the ground up, make sure I don't miss anything along the way.


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  #15 (permalink)
 
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 jackbravo 
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iantg View Post



I think when I put 25% and 75% down originally, I meant .25 = 1 tick and .75 = 3 ticks, but instead I put percentages. So these really should be 33.333% and 67% respectively. But they represent .75 and .25 left to go to hit the original targets.

I am not 100% sure about the betting line honestly, to say something would pay 2 to 1, to me just implies that it should have twice the likelihood of occurring. If looking at this on a # of ticks basis, you would be correct in saying that this has 3 to 1 odds, because .75 (3 ticks) is 3 x .25 (1 tick), but I was looking at from a percentage standpoint, where the odds of winning at 33% are half the odds of losing at 67%. So this is where I came up with 2 to 1. I should probably figure out if the percentage method is right, or if using the absolute figures is right before I become a bookie...

But in practice, I don't typically use betting lines, I just go with either the actual tick advantage or disadvantage or their corresponding percentages. The betting line is just illustrative.

Hope this helps.

Ian


Hey Ian - thanks for your time in discussing this!

I wanted to see if I can calculate the probabilities based on the following assumptions:
1. Uptick and downtick are independent of each other
2. Market order entry: have to pay spread (-1tick)
3. Target does not require pass-through (which can occur if you're early enough): do not have to pay spread
4. Stoploss does not require pass-through (market order)



What I came up with is there is a 4:1 odds against you of making your target. There's a pretty steep house edge, even not taking commissions into account.

@Ozquant Thanks for your advice and links! I'm going those links to my exploration.
@wldman I'd love to start a discussion about what you came up with (as much as you want to share), and more importantly, how exactly you came up with it. How did you calculate the statistics, etc. That'd be a great example for me to learn from.

"It does not matter how slowly you go, as long as you do not stop." Confucius
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  #16 (permalink)
 
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 wldman 
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to work on this because I think a intraday stats model has value. But, I do not think I'd add it to my routine because babysitting the more frequent trades is too much like work.

I'll look for the old documents. They probably won't show up in order.

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  #17 (permalink)
 
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 wldman 
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how do I share an Excel file here?

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  #18 (permalink)
 
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 xplorer 
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wldman View Post
how do I share an Excel file here?

Hi Dan

1 Click on the attachment icon as shown in the picture


2 Under "Upload File from your Computer" click on Browse and locate the Excel file you want to upload

3 Click on the "Upload" button

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  #19 (permalink)
 
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 wldman 
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for docs has my adult add in overdrive. I am finding data in spreadsheets but NOT the description that would make sense or nonsense out of it.

There is a column description, a method description, tons more data, and a few Trade Station studies.

Attached Files
Elite Membership required to download: TJdaily.xls
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  #20 (permalink)
Ozquant
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wldman View Post
for docs has my adult add in overdrive. I am finding data in spreadsheets but NOT the description that would make sense or nonsense out of it.

There is a column description, a method description, tons more data, and a few Trade Station studies.

Wow wasnt the Eususd high back then

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