Announcement

Collapse
No announcement yet.

Z-Score

Collapse
X
  • Filter
  • Time
  • Show
Clear All
new posts

  • Z-Score

    What kind of values should I be looking for in the Trade Series Analysis?

    If I'm reading the description correctly a Z-score of zero implies the distribution of my winning and losing streaks is the same as a Normal distribution.
    So what is normal?

    If instead I have a high score say 2.0 does that mean that 95% of my win/losing streaks (ie 95% of the observations within 2 std dev) are within a normal distribution? What if the score is -2.00?

    On a more practical note I have 2 test results, same system, different parameters.
    PHP Code:
    desc      /   test1   /    test2
    trades    
    /   31      /     32
    win
    %      /   38%    /     43%
    Z-score   /   1.85    /     .64
    conf lmt  
    /   .94     /     .48
    ME       
    /   $26      /     $38 
    Most other statistics are comparable. So the 2nd test has a much higher ME (and overall profit), and % profitable is greater but the Z-score is much lower as is the Confidence Limits.

    I realize one must look at the whole picture not just a few statistics in isolation but I'm trying to get my head around how best to interpret the Trade Series Analysis.
Working...
X