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Statistics

  • #1
  • First Post: Edited Sep 22, 2007 12:21am Sep 21, 2007 9:24pm | Edited Sep 22, 2007 12:21am
Does anyone do any statistical work on their systems/strategies/indicators etc etc by this I mean doing regressions and maybe other stuff? and finding how well certain variables that you are using are influencing whats going on in the market or your bank balance?

Do you guys find this type of analysis helpful? Any other comments? Suggestions?

I want to do a binary regression study based on an indicators value (for example above and below certain levels) and profits... by binary I mean... either profit (1) or loss (0) or something like that... what do you guys think of this idea? Pro's/cons?
  • #2
  • Sep 22, 2007 1:44pm Sep 22, 2007 1:44pm
Quoting Atomic_Sheep
Does anyone do any statistical work on their systems/strategies/indicators etc etc by this I mean doing regressions and maybe other stuff? and finding how well certain variables that you are using are influencing whats going on in the market or your bank balance?

Do you guys find this type of analysis helpful? Any other comments? Suggestions?

I want to do a binary regression study based on an indicators value (for example above and below certain levels) and profits... by binary I mean... either profit (1) or loss (0) or something like that... what do you guys think of this idea? Pro's/cons?
Yep me. I am a quant trader, meaning I am trading off probabilities and statitical odds not technical indicators. Included brownian motion, monte carlo and other stuff that is in the domain of the probability based model development...
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  • #3
  • Sep 22, 2007 1:46pm Sep 22, 2007 1:46pm
Quoting Atomic_Sheep
Does anyone do any statistical work on their systems/strategies/indicators etc etc by this I mean doing regressions and maybe other stuff? and finding how well certain variables that you are using are influencing whats going on in the market or your bank balance?

Do you guys find this type of analysis helpful? Any other comments? Suggestions?

I want to do a binary regression study based on an indicators value (for example above and below certain levels) and profits... by binary I mean... either profit (1) or loss (0) or something like that... what do you guys think of this idea? Pro's/cons?
I do a lot of binary analysys.. Then when I have figured out the probabilities based on that say this happens 60 times of 100 (60%) I calculate the price motion analysis, average, high-low probabilities and so on. When I started to do this I found myself until then I was struggling and the trading did not fit my personality now I am happy and trust my system!!
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  • #4
  • Sep 23, 2007 8:09pm Sep 23, 2007 8:09pm
Have you got any interesting articles or threads on this topic? Has this been discussed on these forums elsewhere?
  • #5
  • Sep 23, 2007 8:49pm Sep 23, 2007 8:49pm
Quoting Atomic_Sheep
Have you got any interesting articles or threads on this topic? Has this been discussed on these forums elsewhere?
Yes a lot.

This is a good one.
http://www.forexfactory.com/showthre...ght=statistics
But search for the word statistics in the discussion are and you will find a lot of stuff... And as my PHD mathematician/statistician mentor says: be creative
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  • #6
  • Sep 23, 2007 10:08pm Sep 23, 2007 10:08pm
thanks for the link
  • #7
  • Sep 23, 2007 10:35pm Sep 23, 2007 10:35pm
I've just started in using a Bayesian network for this sort of thing. If you aren't familiar with the idea, you can download a free (limited) version of the network develpment tool Netica from Norsys : http://www.norsys.com . They have some intersting possibilities, but so far I've only got it to the point where it is providing a useful statistical analysis of various traditional indicators.
  • #8
  • Sep 23, 2007 11:50pm Sep 23, 2007 11:50pm
Quoting bullrock
Yep me. I am a quant trader, meaning I am trading off probabilities and statitical odds not technical indicators. Included brownian motion, monte carlo and other stuff that is in the domain of the probability based model development...
this sounds intresting...

How do you include brownian motion and monte carlo in your trading, i don't get it. From what I know, browian motion is the small motion off all particles in the universe, their energy; monte carlo is simple a simulation
"Abandon all hope, you who enter here" La Divina Commedia, Dante Alighieri
  • #9
  • Sep 24, 2007 1:20am Sep 24, 2007 1:20am
Quoting semar
this sounds intresting...

How do you include brownian motion and monte carlo in your trading, i don't get it. From what I know, browian motion is the small motion off all particles in the universe, their energy; monte carlo is simple a simulation
I use those tools to simulate random / stochastic (NOT THE INDINCATOR) price movements and to stress test my trading models / pricing models
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  • #10
  • Sep 24, 2007 1:23am Sep 24, 2007 1:23am
Quoting bullrock
I use those tools to simulate random / stochastic (NOT THE INDINCATOR) price movements and to stress test my trading models / pricing models
Using monte carlo I simulate the probabilities and calculate them... so on.
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  • #11
  • Last Post: Sep 24, 2007 4:04am Sep 24, 2007 4:04am
i get it now. It's extrodinary how math and phisics integrate in stock trading. I hope on that link you provide(upper) I'll find more info about it
"Abandon all hope, you who enter here" La Divina Commedia, Dante Alighieri
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