Jerry, Yes, I definitely favour StdDev from amongst the bunch of readily available measures. I have connected the statistical dots with broadbrush strokes by myself and I like the pictures that I see. That is why I am deferring to the experts for training in the finer points.
I do have some definite opinions but I don't want to put them out there until after I consult the oracles and allow time for it all to mature. I have ordered a book by Lars Kestner to act as my second maths teacher since 1968. QuantTrader was the first. *Quantitative Trading Strategies*. I am not sure what enlightenment it offers on StdDev but I am not overly concerned as the intitial reading is intended to provide scope and I will target particular areas later if necessary. BrianB2. --- In [email protected], "Jerry Laster" <[EMAIL PROTECTED]> wrote: > > If I understand correctly, I am working on a similar issue. My current > search is calculating standard deviations in the outcomes of a system. > > On Thu, 26 Oct 2006 01:31:44 -0400, brian.z123 <[EMAIL PROTECTED]> > wrote: > > > Hello Jerry and Mr Davis, > > > > Thanks for your posts. > > > > Statistical indicators may be something else again. > > I haven't studied that subject. > > I'll make a note of your points and investigate one day. > > "Never waste a good lead", I always say. > > If people want to spin out some info on statistical indicators that > > is fine by me. > > > > What I am working on is a different way to evaluate system > > performance. > > As a result of back-testing we obtain a range of metrics on our > > *system* e.g wins/losses, drawdown etc. > > There are so many of them used in *trading culture*, some with > > questionable value. > > Basically we are evaluating a data sample comprised of individual > > trades and making inferences about a larger group of trades based on > > that sample i.e the larger population of future trades. > > How can we do that in the most accurate possible way? > > This type of problem is what statistics is based on except it is > > generally orientated to solving *academic* problems. > > Statistics often uses coin flipping, card games and roulette as > > examples when applying statistical techniques but stockmarket > > trading seldom gets a mention. > > I am looking for a writer who has applied statistical methods to the > > problem of evaluating trading systems. > > Monte Carlo simulation is one example of this type of application. > > I am looking for others. > > > > Hopefully there is an author around who can take me further on the > > subject. > > > > BrianB2. > > > > > > --- In [email protected], "Jerry Laster" <laster@> wrote: > >> > >> Not really. My guess is that brian is trying to find a book on the > > use of > >> statistics applied to stock trading. > >> Haven't read any books that deal with probability of trades and > > measuring > >> them. The most advanced use of statistics I know is the afore > > mentioned > >> Van Tharp book and other books that deal with money management > > (but not > >> with probabilistic outcomes for set-ups or patterns (if that's > > what brian > >> is looking for)). > >> Some indicators like sigmas and linear regressions are > > statistical > >> indicators. David Elliott uses a particular formula for Bollinger > > bands > >> and transforms them into statistical indicators (stocks that break > > certain > >> levels are more likely to continue up or down trends, etc.) > > because they > >> fall outside the bell curve of non trending stocks. > >> Check David Elliott stuff, I think he is trying to apply > > statistics to > >> trading, but the only book he wrote is his 1998 guide to make a > > million in > >> the crash of 2000. > >> > >> jerry > >> > >> > >> On Wed, 25 Oct 2006 19:36:58 -0400, mrdavis9 <mrdavis9@> wrote: > >> > >> > Please correct me if I am wrong, but aren't most of TJ's AFL's > > such as > >> > the > >> > CCI, RSI, and STOCHASTICS, statistical indicators? Ron D > >> > > >> > > >> > > >> > > >> > > >> > ----- Original Message ----- > >> > From: "brian.z123" <brian.z123@> > >> > To: <[email protected]> > >> > Sent: Wednesday, October 25, 2006 8:05 AM > >> > Subject: [amibroker] OT: Statistics > >> > > >> > > >> >> Statistics for traders. > >> >> Can anyone recommend a book on statistics written specifically > > for > >> >> traders or that applies statistical methods to trading examples? > >> >> I am looking for an author who has done a good job on the > > subject. > >> >> Even if it is only a section of a book that would do provided it > >> >> goes beyond a superficial treatment of the subject. > >> >> > >> >> For anyone interested here is a link to a very good > > introduction or > >> >> refresher for statistics. > >> >> The HTML *book* takes your from 0-50kph in approx 100 pages. > >> >> Please note; the site does contain a lot of advertisements but > > it is > >> >> also a mini portal for stats and it does have links to free > >> >> statistical stuff and free tools. > >> >> > >> >> Outside of writing indicators I find statistics to be one of > > the few > >> >> maths disciplines that has a high degree of relevance to > > trading. > >> >> > >> >> http://davidmlane.com/hyperstat/index.html > >> >> > >> >> BrianB2. > >> >> > >> >> > >> >> > >> >> > >> >> Please note that this group is for discussion between users > > only. > >> >> > >> >> To get support from AmiBroker please send an e-mail directly to > >> >> SUPPORT {at} amibroker.com > >> >> > >> >> For NEW RELEASE ANNOUNCEMENTS and other news always check > > DEVLOG: > >> >> http://www.amibroker.com/devlog/ > >> >> > >> >> For other support material please check also: > >> >> http://www.amibroker.com/support.html > >> >> > >> >> Yahoo! Groups Links > >> >> > >> >> > >> >> > >> >> > >> > > >> > >> > >> > >> -- > >> Kind regards, > >> Jerry > >> > > > > > > > > > > -- > Kind regards, > Jerry > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
