statistical test

Discussion in 'Trading' started by dan88888, Sep 17, 2010.

  1. dan88888


    hi. it has been too long since i have done stats. and i'm unsure of how to test whether my system has identified non-random behaviour. but i have made an attempt, and i would be most grateful for any comments or corrections. thanks you.

    i have a system which has equidistant SL and TP level. for simplicity, spread is not taken into account. for random entry, i expect the win rate would be 50%.

    i test the system. after 2000 trades, i see a win rate of 58%.
    i calculate the z-score. (0.58-0.50)/sqrt(0.5(1-0.5)/2000) = 7.2
    so 7 standard deviations from the mean.
    firstly, is this right?
    and if so, can i then conclude that my system has found non-random market behaviour? and that it's ridiculously unlikely that such a result is possible by chance alone?
  2. dan88888


    nobody knows? or is my question just so dumb that nobody has bothered to reply?