mql5
R-squared as an estimation of quality of the strategy balance curve
by
, 12-15-2017 at 10:19 AM (31886 Views)
Table of Contents
- Introduction
- Criticism of common statistics for trading system evaluation
- The behavior of common in testing of trading systems
- Requirements for the testing criterion of the trading system
- Linear Regression
- Correlation
- Coefficient of determination R^2
- The arcsine theorem and its contribution to the estimation of linear regression
- Collecting the strategy equity
- Calculating the coefficient of determination R^2 using AlgLib
- Using R-squared in practice
- Advantages and limitations of use
- Conclusion
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