Distribution Testing

T

Trader Raider

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If you find anything of note, which would be success rate >=%70 and A, B or C being >=%80, then please respond.
mcdon030, Checked out your script after finishing my morning trades. Wow! SFIX on a 5-day 15 minute chart has 93% success rate but no data for A,B,C. On 180-day 15 min chart, success rate is down to 74% but A and B are both above 90%. C and D are above 90% on 5-day 3 min chart. I'm sure going to be watching this next week. Thank you for sharing!
 
M

mcdon030

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mcdon030, Checked out your script after finishing my morning trades. Wow! SFIX on a 5-day 15 minute chart has 93% success rate but no data for A,B,C. On 180-day 15 min chart, success rate is down to 74% but A and B are both above 90%. C and D are above 90% on 5-day 3 min chart. I'm sure going to be watching this next week. Thank you for sharing!
thank you for sharing. It helps . When there is no data, it means one or two of the three(A,B,C) don't have values or more need more values to calculate. The indicator itself is really not what I think is important - It's perfecting signals and/or combining different indicators to create trade rules with confidence. Sharpe has very similar math, but I've read there is some downside. I hope this compliments current metrics, such as Sharpe, CAG,ROR, etc, but it's definitely a faster way to analyze than downloading cvs reports, uploading that report, review and do it all over again.

Plus I have no patients so a workable ANOVA Model is more valuable to me.
 
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Ah, no data means not enough values to calculate. Duh! That makes sense because there were less than 20 trades on that look-back period. Is there a minimum number of Total Trades you'd like to see to boost confidence in the various percentages?
 
M

mcdon030

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Ah, no data means not enough values to calculate. Duh! That makes sense because there were less than 20 trades on that look-back period. Is there a minimum number of Total Trades you'd like to see to boost confidence in the various percentages?
Please understand I believe the ANOVA calculations are correct, but there may be something I've missed. I'll have a professional review it soon. Until then :

Create a watchlist if you haven't already to review results across multiple ETFs, futures etc

Step 1:

Select "nosigin" the below input STCDchoose. The idea is simple enough. It calculates win relationships to signals A & B. This will allow to see if A or B or A&B correlate with C. Review AC and BC and ABC. If one of those is above say %70 or greater and winning ratio is above 70%, go to step 2

def stcCn;
def stcCd;
input STCDchoose = { default standard, nosigwin,nosigloss};
switch (STCDchoose) {
case standard:
stcCn=if STCs and BTOsC and afterentrycount>=1then 1 else 0;
stcCd =1;
case nosigwin:
stcCn =if STCs and exitpriceSTC > entryPriceBTO and afterentrycount>=1 then 1 else 0;
stcCd =2;
case nosigloss:
stcCn =if STCs and exitpriceSTC < entryPriceBTO and afterentrycount>=1 then 1 else 0;
stcCd =3;
}

Step 2:

Just for example, we will say A resulted in 90% relationship to C with a win ratio of %80.

Test the same settings through your watchlist. If you see the same or acceptable results, then A is valid. Go to step 3 .

Make sure to note or write down the results.

If your not seeing the same results, select BTO ABC2 and repeat through to ABC3 until you can go to Step 3.

If you can't find acceptable numbers, go to step 4.



Step 3:

Select "nosigloss" with input STCDchoose. Go through your watchlist. Take notes, write it down , etc.
If the relationship is lower across your watchlist then A is your signal.

If the relationship is still positive from win to loss, it may be two things :
1). Most of your signals came from A so most of the losses may come from A.
2). STC has tight stops so A still may be completely acceptable.
I'll need to add MD,ROR,CAG and SHARPE so a scenario like perfect win results and positive loss results occur. Losses may be so acceptable it doesn't matter.

You may still want to change see different BTO signals, try the third one . If all bust, Step 4


Step 4:


4a. Select different STC settings as your exit may be the issue.

4b Consider changing BTO script settings for ABC. For example, add money flow script from C signal to A or B

4c. Consider changing STC script. I believe the current settings are preferable as I used tight stops.

if all fails step 5

Step 5.

Change A or B indicator signals.

I may do the following soon:

  • add stochastic price or stochastic price with volatility from mobius.
  • use the ANOVA to test optimal gamma percent. I plan to change gamma percent with a fold when for entries and different setting for exists. I believe ehlers and a few others have similar indicators.


Hope that makes sense. Even if you want to review other indicators, using this tool seems to expediate the process..... or I hope so anyway

Lastly, check /ES intraday with multiple aggregations with settings as-is. :)

let me know.

-mcdon
 
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@mcdon030, THANK YOU for that! I printed your instructions and will make a spreadsheet to record my findings.
 
C

codydog

Member
Hi Mcd_
I've been using this along with my normal charts and found it quite interesting. As you said, different settings provide different results and you have to play around with them for optimal results. Also curious to see the % success rates move up/down during the day - very useful to see where to focus. Found some results in cl, rb and ho - which are notoriously hard to trade.

I was wondering if you would continue your work and make this study both a long and a short study,so as to capture intraday cycles continuously?

I'm interested and happy to continue the discussion here or privately, thanks!
 
M

mcdon030

New member
@codydog I will and plan to soon, but I wasn’t concentrating on the indicator itself. That doesn’t mean I don’t have 5 variations already. I need to finish a project first , but will add a short study once that’s complete.
 

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