then on Amazon you have a lot of disgruntled kids who have a hard time getting through even the most elementary stats classes in college. For them any book which does not get them an A aside their busy sports and social schedules sucks. I think its actually a very good book, whatever people say, cause I read and worked with it in the beginning. And it kind of makes we wonder about you when you cite the publication year as a reason for your book disqualification. I would claim not much has happened at the basic stats and probability front since 1994 ;-)
So you use thousands of data points for in-sample statistical test and another thousands of data points for out-sample statistical test? I saw on Bloomberg that if I plot the recent two years, they show very different behavior. But if I plot the past 10 years, then they are very similar indeed.
Thanks a lot! I have learned those t-test stuff. However I just don't see what do I use t-test to: I am testing the statistical significance of trendiness? What's the null-hypothesis here? And how to do that? I am just missing something and need some enlightening...
a) yes I do, and sometimes tens or hundreds of thousands depending on bar frequencies or tick data. b) Well use this: AAPL EQUITY RIMM EQUITY HS. It shows you some basic statistical properties of the correlation that goes on between those 2 names over specified time periods.
Good points! So if we found a strong correlation relation and showed at least 2000-3000 observations, and we lag one time series vs. the other time series before we throw them into the correlation calculator, then we should be able to trade the correlation, right? We use the leading one to predict the lagging one and trade the lagging one?
no, not the statistical significance of trendiness (though you could use t-tests for that, too, of course). My point was to rigorously test the performance results of a trend system on one asset with in-sample data, then construct a t-test on the out-of-sample data (and you could cut the out of sample data into several clusters to test separately) with the null being that the out-of-sample performance does not hold up to the observed in-sample performance.
I heard even pure data-mining works... Rentec is using that a lot. So I think Rentec has invented a mechanism that they can try everything, even the moon-phase vs. stock price, but they know how to judge when it works and when it doesn't and then switch on and off fastly...
Pushing them buttons am I . . . lol You don't need to prove anything to me, you are incapable of proving anything to yourself. You accuse me of something you can't prove because it is a lie . . . how ironic. Search my posts moron. I've posted plenty of trades.