Home > Articles > Volume 23 (2005) > Chapter 1 (January 2005) > Stocks & Commodities V. 23:1 (39-45): Sidebar: Runs tests, Z score by Norman J. Brown

Stocks & Commodities V. 23:1 (39-45): Sidebar: Runs tests, Z score by Norman J. Brown

Stocks & Commodities V. 23:1 (39-45): Sidebar: Runs tests, Z score by Norman J. Brown
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Stocks & Commodities V. 23:1 (39-45): Sidebar: Runs tests, Z score by Norman J. Brown

Here are calculations for the approximate derivation of the Z score. Suppose you have a run sequence xx/yyyy/x/yy/xxx/y/x/y where:

x is an up day or positive return

y is a down day or negative return

This series has N=15, with eight streak runs (OR trades), and four switches (OR round trips).




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