tag:blogger.com,1999:blog-5560052943772419320.post4126333491550574448..comments2018-02-01T14:27:27.929+01:00Comments on Dekalog Blog: Preliminary Tests of Currency Strength IndicatorDekalognoreply@blogger.comBlogger2125tag:blogger.com,1999:blog-5560052943772419320.post-36852357203500033102017-07-06T12:44:28.642+02:002017-07-06T12:44:28.642+02:00Hi Unknown, sorry for the late response to your co...Hi Unknown, sorry for the late response to your comment.<br /><br />The two charts are displays of a crude Monte Carlo permutation analysis whereby the position vector ( i.e. 1 for long, -1 for short, 0 for neutral ) is randomly permuted whilst preserving the ratio between long, short and neutral. These random position vectors are multiplied, element by element, with the real return vector to give a distribution of returns that could be expected from random trades that exactly mimic the "profile" of the real, signalled trades. This random distribution is assumed to be a normal/gaussian distribution, and so the mean and standard are calculated, and the real, signalled returns are compared to this distribution. Because of the scaling, any return > 1 is equivalent to a distance > two standard deviations away from the mean, i.e. a p-value of approximately 5%.<br /><br />Hope this short description helps.Dekaloghttps://www.blogger.com/profile/07016889838486083128noreply@blogger.comtag:blogger.com,1999:blog-5560052943772419320.post-50316108546150162342017-06-02T16:22:25.785+02:002017-06-02T16:22:25.785+02:00nice work! im just having trouble interpreting the...nice work! im just having trouble interpreting the results from the second approach. can you elaborate more what the two charts are implying?Unknownhttps://www.blogger.com/profile/14693835981478133613noreply@blogger.com