jptann - 27-9-2017 at 01:58 PM
Peter:
I am interested in how you are using the Pearson R in your model. Is there a link where I can understand how you use it and what the mathematical
formula is. What I am looking for is what the Y and X axis are in your calculation. Is Y the net profit of the trade or something else and the X
axis is trade number or date.
Thanks in advance
admin - 27-9-2017 at 02:30 PM
The function is in excel. Its a correlation of the cumulative equity curve compared to a straight line that starts at zero and ends at the final
equity value.
The logic is this.
flipping a coin randomly might make money, but flipping a coin randomly where it consistently makes money is very improbable.
Hence how liner a system is, is a good metric. One comment on S&P500 market which has been very hard the last few years.
The last few years have worked better with systems with higher profit factor, than high pearsons.
jptann - 28-9-2017 at 03:30 PM
thanks Peter