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Z-Score

Siitari
Nov 22 2010 at 11:57
111 投稿
I'm a bit confused about this. I didn't know what this means and had to look it up.

Is '0.26 (99.98%)' as it's supposed to be? The percents seem to indicate that the 0.26 should actually be calculated as 1/n = 3.85?
Or have I misunderstood this completely? Has this been 'turned around' so that the smaller the number the better the expectancy?


I found this chart:

Z-Score & Confidence Limit (%)

3.00 / 99.73%
2.58 / 99.00%
2.33 / 98.00%
2.17 / 97.00%
2.05 / 96.00%
2.00 / 95.45%
1.96 / 95.00%
1.64 / 90.00%


EDIT: Seems that everyone has got a 99.98%?
Less effort, better results.
Kyle K (Holoverse)
Nov 22 2010 at 18:41
7 投稿
Yeah, Im confused too. Mine is at -19 (99.98%)
That seems either really good. Or really bad....lol
Any ideas?
Quitters Never Win, Winners Never Quit
Elkart
Elkart
Nov 22 2010 at 18:48
941 投稿
Kyle K (Holoverse)
Nov 22 2010 at 18:54
7 投稿
Bbut what does it mean to me?

Is the 99.98% a confidence figure?
Or a probability of bankruptcy figure?

Which is why I say, either its really good
Or really bad :)
Quitters Never Win, Winners Never Quit
Elkart
Elkart
Nov 22 2010 at 19:03
941 投稿
I don't know. I was reading it but got distracted by a beer. Now I can't concentrate....


Kyle K (Holoverse)
Nov 22 2010 at 19:08
7 投稿
lol
Quitters Never Win, Winners Never Quit
Ethan (Staff)
Nov 25 2010 at 11:33
1401 投稿
Guys, I've just noticed this topic.

Here's an explanation we've posted in our blog:

The sign doesn’t make the z-score value any better or worse – what we’re looking to see is a z-score value greater than 1.96 or less than -1.96 (Equal to 95% probability or better).

While z-score tells us if the streak of losses/wins are random or not, the sign simply tells us if the dependence is positive or negative, meaning:

Z-Score negative – dependence is positive.
Z-Score positive – dependence is negative.

Positive dependence – a profit will be followed by a profit and a loss by a loss.
Negative dependence – a loss will be followed by a profit and a profit by a loss.

And how certain can we be that it will happen? This is the percentage that is shown to you in your system’s z-score value. So for example, if z-score = 2.17(97.0%), it means there is a 97% confidence level that a loss will be followed by a profit and a profit by a loss (negative dependence). In such case you would want to miss a trade after a profit and take a trade after a loss to maximize profits and minimize losses.

Hope that’s clear enough! We’ll add a section describing it in full, in the next several days.
Siitari
Nov 25 2010 at 11:41
111 投稿
Thanks for the explanation! I read the comments on your blog and the links too.

What is still confusing me is that the probability percent always seems to be 99.98%. On every system. There's a bug in the code? Or does it update at certain times only and gets calculated correctly later?
Less effort, better results.
Ethan (Staff)
Nov 25 2010 at 11:51
1401 投稿
Looks like an issue on our side - currently checking it, please stand by.
Ethan (Staff)
Nov 25 2010 at 12:08
1401 投稿
Ok, we've found an issue in our calculations - the fix is ready, however it will be applied only during the weekend as it involves a short period of downtime.

I apologize for any inconvenience.

Thanks for reporting it!
Siitari
Nov 25 2010 at 12:10
111 投稿
Glad to be of help and thanks for the quick replies and fixes.
Less effort, better results.
Siitari
Dec 31 2010 at 16:21
111 投稿
Z-Score (Probability): -3.53 (204.62%)

204 percent? :)

Shouldn't 100% mean that it will allways happen? I wonder how this is actually calculated...
Less effort, better results.
Ethan (Staff)
Jan 02 2011 at 09:54
1401 投稿

Siitari posted:
    Z-Score (Probability): -3.53 (204.62%)

204 percent? :)

Shouldn't 100% mean that it will allways happen? I wonder how this is actually calculated...

Yes, statistically speaking, it can't be more than 100% 😄 - the fix is already ready so it will be applied during the next update.

You can refer here for a z-score calculator: https://faculty.vassar.edu/lowry/tabs.html
VintemFx (vintemfx)
Dec 21 2015 at 07:47
1 投稿
Hello,
I have got Zscore -3.71 (-245.24%) for one of my systems.
Is that really possible? If so, how can I use that to make my system even better?
Regards,
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