Ubzen System Development Process - page 6
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@ Zzuegg: Yeah, I was talking about Ruin. And you were talking about Return. Guess I better start referring to Ruin as RoL. Ruin usually look at 100% and it seems RoL looks at different percentages.
@ jizzle: Systems are part Technique, Part Money-Management and part Psychology. We're trying to understand the statistics because that'll create the confidence and discipline to execute all 3 parts of the system.
In the interest of knowledge, I've decided to continue generating statistics and optimizing the system. I'll move on to generating Z-Score and filter via Range, Volatility, Time and Volume. I'll keep using the recent time's data because how a system is performing presently is more important than how it performed in the past IMO.
Turns out the system has a Z-Score= -2.73 for the 2010 Period. Z-Score in the Article is different from Z-Score in normal statistics and should be more described as Dependence. As such the Dependence is Positive (Losses follow Losses and Wins follow Wins). My first filter would be to Stop placing trades after a Loss. I'll place virtual trades to track when it's winning again.