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I have an EA that I regularly backtest and optimize. I want to determine a relationship between the probability of a given trade being profitable and a certain statistical measure called kurtosis at the time the trade was initiated.
I programmed my EA to generate a .csv file containing each trade's profit/loss alongside the proper kurtosis value.
Excerpt:
PROFIT KURTOSIS
-41.82 2.97530011
-61.82 3.12553938
-45.82 2.32907776
-100.82 1.9039837
-14.82 2.35415757
-30.82 2.23130752
-75.82 2.76931501
-62.82 1.60114237
28.18 3.29114443
12.18 2.99822995
6.18 2.27906841
-76.82 1.59931087
1.18 6.21691918
54.18 3.15778944
24.18 4.98645291
2.18 2.84275644
33.18 2.36483006
18.18 2.17924754
-160.82 1.86165136
51.18 1.90035084
...
etc
[/CODE]
I am not interested in the discrete sum of profit/loss, so I replaced all p/l values with binary values: 1 if the trade was profitable and 0 if it was not profitable.
Excerpt:
[CODE]
PROFIT KURTOSIS
0 2.97530011
0 3.12553938
0 2.32907776
0 1.9039837
0 2.35415757
0 2.23130752
0 2.76931501
0 1.60114237
1 3.29114443
1 2.99822995
1 2.27906841
0 1.59931087
1 6.21691918
1 3.15778944
1 4.98645291
1 2.84275644
1 2.36483006
1 2.17924754
0 1.86165136
1 1.90035084
Now what I want to do is to determine the relationship (if any).
Normally I would use a polynomial regression, but this makes no sense when one of the variables is binary.
I have read of something called logistic regression, but I can't seem to figure out how to do it with MatLab.
If someone could give me some instructions and possibly some tips on interpreting the results I would really appreciate it. If you know of another way to achieve a relation between the two variables I'd like to hear that too.