All Things Statistical - page 3

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techmac:
I have a simple question to all : if an account that anybody has, grows from $1.000 to $125.000, what would be the reason not to withdraw any money from it? Occam's razor principle suggests simplest solution for that

Maybe because you can earn more. If Warren Buffet follows Occam's razor, there probably wouldnt be a Warren Buffet but an ordinarily wealthy person.

 

Violations Of Assumptions of Linear Regression

Presentation of Linear Regression Violations in an Amusing Manner

Violations of the Assumptions for Linear Regression: The Trial of Lionel Loosefit (Day 1) | Minitab

Violations of the Assumptions for Linear Regression (Day 2): Independence of the Residuals | Minitab

Wintersky

 

An Excellent Visual/Simplistic Explanation of Principle Component Analysis

An extremely easy to understand graphical look at Principle Component Analysis in 5 mins instead of doing it the long time-consuming way. Impossible to not understand

Principal Component Analysis 4 Dummies: Eigenvectors, Eigenvalues and Dimension Reduction | George Dallas

Wintersky

 

Wavelets For Dummies: Signal Processing, Fourier Transforms and Heisenberg

Wavelets For Dummies: Signal Processing, Fourier Transforms and Heisenberg

Another 5 minutes Simplistic Understanding of Wavelets from the same website as the previous post. Pretty pretty cool. Cant be any more simpler. Enjoy!!

Wavelets 4 Dummies: Signal Processing, Fourier Transforms and Heisenberg | George Dallas

Wintersky

 

I think everybody should read those articles. Thank you very much

 
whisperer:
I think everybody should read those articles. Thank you very much

You're welcome

 

Interview With William Eckhardt

Short Interview With William Eckhardt by Barclay Group, my kind of Statistical Hero. Original Website seems to have a security problem so here goes...

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Q: Systematic approaches are based on extensive analysis of historical data. How is your systematic approach able to deal with unprecedented political and/or economic changes?Eckhardt: First, a statistical digression: small sample statistics in which delicate techniques are used to wrench marginal significance from sparse data have no place in futures trading. So what is a sufficiently large sample? In normal distribution dominated classical statistics, the answer is "more than 30". In view of the pathology of futures distributions, the correct answer for our field is more than 100.

Q: Is rigid adherence to a trading plan necessary for success?Eckhardt: General adherence to a good trading plan has been shown time and time again to be advantageous to the trader. The question is how rigid should adherence be.

Many who are now system traders began with a loose approach in which they had the experience of making mistake after mistake. This is often followed by a period of experimenting with systems, in which the trader finds that the market can trick him/her into making system changes at the wrong time, just like it used to induce the trader to make trades at the wrong time. Many come away from such experiences convinced that unquestioning adherence to a system is their only hope.

This approach has one overwhelming drawback. There is no way to improve; one gets stuck with the first viable system one develops. In an increasingly competitive environment, the choice is to improve or perish. I doubt that rigidity has much prospect for long-term survival.

Q: Mechanical trading systems, like mechanical machines, may need periodic maintenance. What type of fine-tuning do you advocate?Eckhardt:The question of fine-tuning system parameters merits a lengthier treatment than I'm able to give here. The short answer is that judicious fine-tuning can be helpful; most often such adjustments are detrimental.

A trading system can be thought of as a function from certain data configurations to certain expected outcomes. For a variety of reasons, this function ought to be continuous. This means that small changes in trading procedure should issue in small changes in expectation. If nudging a system parameter makes a large improvement in performance statistics, instead of looking to incorporate this tiny change into your practice, you should try to find out what's wrong with your data or your computations.

If your data set is large enough and your statistical procedures are otherwise unobjectionable, then small fine-tuning changes result in small changes in expected performance. The problem is that the latter tend not to be statistically significant. Now if you make a lot of small statistically insignificant changes, they might chance to meld into a significant difference; much more likely that the better performance statistics so obtained owe to historical over-fitting.

It is much more important to verify that your system is in a well-behaved region of its parameter space or to develop new macro-concepts, than to squeeze the last few drops of theoretical expectation out of your system through micro-adjustments.

Q: Under what circumstances would you choose NOT to follow your system?Eckhardt:In addition to unprecedented world situations, there are times when a system underestimates portfolio risk, often owing to uncustomary correlation among markets. In such situations you may have to override. However, if you find yourself overriding more often than say, twice a year, it is time to investigate whether the perceived defect in the system is real and whether it is repairable.

Q: What would you consider to be the most serious mistake made by novice system developers?Eckhardt:There are so many fatal errors and so few ways to go right, that it's difficult to single out a most serious error. But I suppose for the system designer and trader, the cardinal sin is credulity--insufficient skepticism about your own ideas and results. Unwillingness to massacre, through rigorous testing, your own little creations. Needless to say, nothing you read or buy should be counted as more than a hypothesis to test and challenge.

 

from one trader to another... Kozma Prutkov - Wikipedia, the free encyclopedia

 
Pava:
from one trader to another... Kozma Prutkov - Wikipedia, the free encyclopedia

That your hero good old Pava?

Try to debate something here of statistical nature.... Always in need of inspiration to re-re-evaluate all the different wonderful indicators we have around here.... Been discovering more and more of the indicators here are diamonds and not plain rocks as previously thought.....

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