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?

Get more messages

No more messages

Back


Trading Items TFS Tether Line Dynamic Zones RSI - Technical Indicator Long strategy created with the money management tool KST indicator Base or Counter Currency	How-to Lessons How to automatically start a downloader every few minutes? How to drag & drop a stock to a static watchlist How to debug a trading system using the money management tool How to export trading data to a CSV file How to create trading rules based on Put and Call volume data
Related Forum Threads Data feed Intraday INTRADAY VERSION AND SIZE OF DATA BASE PIVOT TABLES-a new feature Stock Ranking using ... object "New messages only" check box	Blog Posts Composite Indicators Create Your Own Tactical Asset Allocation Strategies Charting, Backtesting and Trading using Fundamental Data How to Pick the Best Trend Indicators German Stock Exchanges: 5 free ways to download historical EOD/In...