Hi! Does someone know how to calculate the z score through the custom backtester? I could not find any hint in the past posts. I have just the problem that I do not know how to caculate R as the total number of runs.
The Z-Score (sometimes called the standard score) is a statistical calculation. Z-Score = (N*(R-.5)-X)/((X*(X-N))/(N-1))^(1/2) where N = the total number of trades (for the formula to work effectively, the Z Score must be calculated for a minimum of 30 trades), R = the total number of runs (a new run begins each time a profitable trade is followed by an unprofitable one, or vice versa), X = 2 × W × L, W = the total number of winning trades, L = the total number of losing trades. Many thanks and kind regards, dubi
