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System evaluation based on past performance: Random Signals Test

Introduction

Hypothesis Test

Performance Measures

Critical Values

Conclusion and Acknowledgments

Books Related

Alex Strashny:

System evaluation based on past performance: Random Signals Test

Keywords: Trading Systems; System Evaluation; Hypothesis Testing

This paper introduces a new method for evaluating a trading system based on its past performance. The method is a hypothesis test that asks whether the system is making random trades. The test controls for price behavior during the test period and the trade characteristics of the system being tested. A system should be traded only if the null hypothesis of random trading is rejected.

Prof. Alex Strashny

http://alex.strashny.com/

Performance Trading

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