Problem with Standard Deviation and Avg. Trade Length stats
Jun 03, 2020 at 07:42
652 Zobrazení
1 Replies
Členom od May 26, 2020
1 príspevkov
Jun 03, 2020 at 07:42
Hello everyone! I have a problem with understanding two stats - Avg. Trade Length and Standard Deviation - and comparing them with values in my strategies.
1) It looks like Avg. Trade Length should be calculated as a sum of lengths of all booked trades divided by the number of trades. For example, for the attached example:
(9+8+5+5+9+9+41+10+11+309*60+9*60)/11/60 = 29 minutes
but in my profile it is displayed as 38 minutes, and I have checked that it does not depend on open trades.
2) According to the description of Standard Deviation, it should be calculated based on expectancy:
'Standard Deviation is a statistical measure of volatility. It shows how much variation or dispersion there is from the mean (Expectancy).'
But it doesn't look like true because my expectancy is changed on each interest change, while Standard Deviation remains unchanged. For example, the total profit is -371.27. Expectancy is -371.27/11 = -33.75.
But SD = sqrt( (-18.63+33.75)^2+(-11.01+33.75)^2+(-13.55+33.75)^2+(-1.1+33.75)^2+(-127.73+33.75)^2+(-3.65+33.75)^2+(-0.26+33.75)^2+(0+33.75)^2+(0+33.75)^2+(0+33.75)^2+(0+33.75)^2)/11) = 40.04154126
While the value in the profile = 35.64
Please help me understand where I am wrong.
1) It looks like Avg. Trade Length should be calculated as a sum of lengths of all booked trades divided by the number of trades. For example, for the attached example:
(9+8+5+5+9+9+41+10+11+309*60+9*60)/11/60 = 29 minutes
but in my profile it is displayed as 38 minutes, and I have checked that it does not depend on open trades.
2) According to the description of Standard Deviation, it should be calculated based on expectancy:
'Standard Deviation is a statistical measure of volatility. It shows how much variation or dispersion there is from the mean (Expectancy).'
But it doesn't look like true because my expectancy is changed on each interest change, while Standard Deviation remains unchanged. For example, the total profit is -371.27. Expectancy is -371.27/11 = -33.75.
But SD = sqrt( (-18.63+33.75)^2+(-11.01+33.75)^2+(-13.55+33.75)^2+(-1.1+33.75)^2+(-127.73+33.75)^2+(-3.65+33.75)^2+(-0.26+33.75)^2+(0+33.75)^2+(0+33.75)^2+(0+33.75)^2+(0+33.75)^2)/11) = 40.04154126
While the value in the profile = 35.64
Please help me understand where I am wrong.
Prílohy:
Členom od Mar 27, 2018
13 príspevkov
Jun 03, 2020 at 10:39
It may just be that MYFXBook needs a few days to update the figures
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