t-test / z-test - Trading Software

t-test / z-test

GS
2012-09-15 13:01:54

Hi,

Within statistics of simulation/backtesting I would like to see results of t-test or z-test, how do we do this? For t-test we can have following formula based on excel sheet functions:

t-test = SQRT(Total number of trades)*AVERAGE(first trade : last trade)/STDEVP(first trade : last trade). Here, within AVERAGE and STDDEVP we will use values of % gain/loss for each trade, i.e. perf(close,1).

Thanks,

QuantShare
2012-09-15 13:21:17

You must use the money management script (OnEndSimulation event) to create this t-test measure.

GS
2012-09-16 11:45:00

OK, so following script is giving me t-score^2 for my trading system:

===========================================================

MMPosition[] pos = Portfolio.GetAllPositions();
double aveg = 0.0;
for(int i=0; i < pos.Length;i++)
{
aveg += pos[i].Performance;
}

aveg = aveg/pos.Length;
double differ = 0.0;
for(int i=0; i < pos.Length;i++)
{
differ += (pos[i].Performance - aveg)*(pos[i].Performance - aveg);
}

pos[pos.Length-1].AddTradeMetric("t-score^2", (pos.Length*pos.Length*aveg*aveg)/differ);

===========================================================

Actually I want to see sqrt( (pos.Length*pos.Length*aveg*aveg)/differ). The moment I use "sqrt" formula, it is giving error, saying that it is not the part of this event. I would appreciate if you could guide me on how to use sqrt formula withing OnEndSimulation event of MM script. After that that we can upload this script for the benefit to all the users of QS.

Thanks,

QuantShare
2012-09-17 11:26:00

To calculate sqrt use this function:
Math.Sqrt(variable)

GS
2012-09-17 12:07:33

Thanks a lot, the final script is given below. I would like to upload it on the sharing server, would appreciate if you could help in doing so.

Best regards,

==============================================================
MMPosition[] pos = Portfolio.GetAllPositions();
double aveg = 0.0;
for(int i=0; i < pos.Length;i++)
{
aveg += pos[i].Performance;
}

aveg = aveg/pos.Length;
double differ = 0.0;
for(int i=0; i < pos.Length;i++)
{
differ += (pos[i].Performance - aveg)*(pos[i].Performance - aveg);
}

differ = Math.Sqrt(differ);
pos[pos.Length-1].AddTradeMetric("T-score", pos.Length*aveg/differ);

==============================================================

QuantShare
2012-09-17 13:15:12

After you create and save the money management script based on the above formula (Analysis -> Advanced Money Management), select "Tools -> Sharing Server", select "Advanced Money Management", your item then click on "Share Selected Item".

GS
2012-10-17 13:51:29

Hi,

Is it possible to this value of T-Score on the optimization report? Currently I have to open "TradeMetric" to see this.If yes, any suggestion on how to do this?

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