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Evaluate function of Alice4b from Börsenhackerbuch #465437
04/27/17 13:35
04/27/17 13:35
Joined: Feb 2017
Posts: 369
D
Dalla Offline OP
Senior Member
Dalla  Offline OP
Senior Member
D

Joined: Feb 2017
Posts: 369
I found a reference to Alice4b in another thread related to detrend I believe. This is the snippet I'm referring to:

Code:
function evaluate()
{
	var TestProfit = 400;
	static int Count = 0;
	if(Balance > TestProfit)
		Count++;
	
	var Bucket = floor(Balance/25);
	plotBar("Profit",Bucket,25*Bucket,1,SUM+BARS+LBL2,RED);	

	if(TotalCycle == NumTotalCycles) {
		var Probability = (100.*Count)/NumTotalCycles;
		printf("n-------------------------------------------");
		printf("nReality Check: %.1f%% Random Probability",Probability);
		if(Probability <= 1)
			printf("nSystem result is significant");
		else if(Probability <= 5)
			printf("nSystem result is possibly significant");
		else 
			printf("nSystem result is not statistically significant");
		printf("n-------------------------------------------");
	} 
}



I'm wondering about TradeProfit = 400, which guides whether the system result will be considered statistically significant or not. Were does this value come from?
Is there some reasoning behind the selection of this value? I realise this might be explained in the book, but since I don't read german I'm out of luck :-(

Re: Evaluate function of Alice4b from Börsenhackerbuch [Re: Dalla] #465457
04/28/17 12:52
04/28/17 12:52
Joined: Jul 2000
Posts: 27,978
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,978
Frankfurt
400 was the profit achieved in the test with the real price curve. For getting its p-value, the 400 must be compared with the random results.

Re: Evaluate function of Alice4b from Börsenhackerbuch [Re: jcl] #465464
04/29/17 03:50
04/29/17 03:50
Joined: Feb 2017
Posts: 369
D
Dalla Offline OP
Senior Member
Dalla  Offline OP
Senior Member
D

Joined: Feb 2017
Posts: 369
Ok, so the reasoning is that if we shuffle the price curve, the system should deteriorate. If it doesn't, we have not really found an edge? Simple variant of WRC?


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