Quote Originally Posted by TraderD View Post
Due to the sparsity of the historical data, I think it is important to not only look at the expected return but also at other statistical measures of the return distribution such as percentiles (or median and quartiles). As a side note, I assume that a parameter reduction to a single MF variable and IWM price advance threshold was necessary in order to produce a sufficient number of cases to examine.

Trader D
Here is the data.
I believe that if in three days, we did not hit the stop loss and IWM is closing higher than yesterday's close, we will not do better than a "wash" on the trade. At least this is what the stats says.

In that case, we will refrain from trading new IWM Robots positions until the 20DMF issues a signal, because it means that past stats are not applicable and that the environment is on stealth QE3.



Pascal

Stats_1_26.xls