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Are these good Z-Scores? Which is better?

  • Post #1
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  • First Post: Edited 11:28pm Apr 3, 2016 6:31pm | Edited 11:28pm
Please help. Z-scores in relation to EAs elude me.

First of all, how would you rate these Z scores?

Next which is better, which would you bet money on to have a better chance of profitability?

Same EA, 2 different versions. How meaningful are they without taking other numbers and stats of the EA results into account?


Version A. Z-score: 0.99 and Z-probability: 16.12%

Version B. Z-score: 1.32 and Z-probability: 9.4%

My chips are currently placed with Version A.
Quoting Pipologist
Please help. Z-scores in relation to EAs elude me. First of all, how would you rate these Z scores? Next which is better, which would you bet money on to have a better chance of profitability? Same EA, 2 different versions. How meaningful are they without taking other numbers and stats of the EA results into account? Version A. Z-score: 0.99 and Z-probability: 16.12% Version B. Z-score: 1.32 and Z-probability: 9.4%
why are you trying to look at a Z score??? Use sharpe ratio for better idea
All posts are my personal opinion
Quoting Rtm
{quote} why are you trying to look at a Z score??? Use sharpe ratio for better idea
why would I ask the question in first place...

what makes you assume that i don't use sharpe ratio?

my questions and thread is related to Z score not sharpe ratio.

although you are trying to be helpful and it's appreciated, it's not helpful.
well I have no idea what you are trying to compare it to or use as a benchmark to what is 'good' so I cant really help you much anyway. I know strategies that have -11 Z score and others that have +25 Z score and both work very well IMO. sorry

If you using say sp500 as your benchmark then I would say YES this is a safe and good Z score.
All posts are my personal opinion
Quoting Rtm
well I have no idea what you are trying to compare it to or use as a benchmark to what is 'good' so I cant really help you much anyway. I know strategies that have -11 Z score and others that have +25 Z score and both work very well IMO. sorry
Right, as I imagined, it's pretty much useless unless I include other stats with it, which I'm not inclined to do at the moment.

If there are other opinions regarding the relation of raw Z score to probability in regards to EAs by anyone, I'm all ears.
  • Post #6
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  • Last Post: Apr 3, 2016 11:46pm Apr 3, 2016 11:46pm
Quoting Rtm
well I have no idea what you are trying to compare it to or use as a benchmark to what is 'good' so I cant really help you much anyway. I know strategies that have -11 Z score and others that have +25 Z score and both work very well IMO. sorry If you using say sp500 as your benchmark then I would say YES this is a safe and good Z score.

Thanks, the underlying instrument being traded with this EA is retail fx EURUSD cfds.

Your opinion/comment regarding to comparing or using SPX as a benchmark is a positive point for the EA (perhaps).
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