V.15:7 (311-317): Evaluating Trading Systems with Statistics by J. Katz, Ph.D.

V.15:7 (311-317): Evaluating Trading Systems with Statistics by J. Katz, Ph.D.
Item# \V15\C07\EVALUAT.PDF
Availability: In Stock

Product Description

Here, in part 1 of two, these Contributing Writers explain the steps necessary to evaluate trading system behavior with the use of statistics.

by Jeffrey Owen Katz, Ph.D., and Donna L. McCormick

Most systems I have seen are simply optimized by being tested with different parameters, examined for profitability and sometimes assessed for a few other characteristics. On occa-sion, I have encountered systems tested on perhaps one or two out-of-sampleŻ periods to determine whether performance would hold up. However, few who write about system development or developers themselves have attempted to estimate probabilities or compute statistical analyses on trading systems to assess likely future system performance. For the sake of simplicity, I have often been guilty of omitting such analyses from my own work.

However, I often get comments regarding issues that statistics directly bear upon, such as sample size, replicability, curve-fitting, generalization and determining whether a system will trade profitably or fall apart when finally put to the test. I have also had discussions with system developers who are reluctant to apply any optimization strategy because of a fear of curve-fitting rooted in a lack of knowledge about the statistical issues involved.

*Note: $2.95-$5.95 Articles are in PDF format only. No hard copy of the article(s) will be delivered. During checkout, click the "Download Now" button to immediately receive your article(s) purchase. STOCKS & COMMODITIES magazine is delivered via mail. After paying for your subscription at store.traders.com users can view the S&C Digital Edition in the subscriber's section on Traders.com.

Take Control of Your Trading.
Professional Traders' Starter Kit
All these items shown below only $299.99!
  • 5-year subscription to Technical Analysis of STOCKS & COMMODITIES, The Traders' magazine. (Shipping outside the US is extra. Washington state addresses require sales tax based on your locale.)
  • 5 year access to S&C Archive
  • 5 year access to S&C Digital Edition
  • 5-year subscription to Traders.com Advantage.
  • 5-year subscription to Working Money.
  • Free book selection.
  • Click Here to Order