Next the annual summary report. This is for the SP market, so to find the number of points divide the $ profit by the multiplier (250). 2002 +17,125/250 = 68.5 pts. 2001 +34,125/250 = 136.5 pts. 2000 +35,225/250 = 140.9 pts. etc. Also note the number of trades per-year. 2002 24 2001 24 2000 19 etc.
There we go ! In fact you have to calculate the statistical significance of your trading. The smaller the number of significance the greater your edge.....
Next process the numbers in a simple basic program. The results show the long trades ranked: 2002 90.5 or beat 905 of the random tests. 2001 98.1 2000 95.3 1999 70.3 1998 78.1 1997 90.1 From this little test, I would say this system has a tradeable edge.
Acrary, With all the numbers you have and a statistical software program you can calculate the significance number and that number defines the edge !
The duration of the trades, will determine spread around the average trade The longer the duration of your trades, the bigger will be the standard deviation....
A friend of mine (with a phd in stats), told me I should've done a chi square goodness of fit test with a significance level of .01. The only problem I had was that it only told me if I had a edge...not the degree. Given that I now use 5,000 samples in the test and combined it with some Monte Carlo testing, I find it to have real value. This can be combined with other tests to measure the mean and std. dev. to provide a confidence level, but since the number of samples is very small...it will probably only go out to the 95% confidence level that the mean is positive. Anyway, that's my .02
Someone can have a 50 % return and an other 25 % but that doens't mean that the guy with the 50 % has bigger edge.