Student t-test

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mikeyc

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7 years ago #115755

Hi,

 

Would be nice to have this built in or a code snippet developed for calculating the student t-test of a trading system.

 

t-Test

This is one you don’â„¢t see much of. The t-Test is a statistical test used to guage how likely your trading system’â„¢s results occurred by chance alone. You would like to see a value greater than 1.6 which indicates the trading results are more likely to not be based on chance. Any other value below indicates the trading results might be based upon chance. The t-Test value should be calculated with no less than 30 trades. Below is the t-Test calculation.

t = square root ( number of trades ) * (average profit per trade trade / standard deviation of trades)

Thanks,

 

Mike

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