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Forums>StrategyQuant>General Discussion>z-Score / z-Probability

  • #256156 |
    ChrisWhite
    Customer
    15 Posts

    Dear all,

    I would like to know, what the exact meaning of z-score and z-probability in result table is.

    I could not find anything in the documentation about it.

    Thanks for help in advance.

    Christian

    zscore_zprobability

    #256166
    ChrisWhite
    Customer
    15 Posts

    Thanks for the link.

    In principal the meaning of z-score and z-probabilty was in general clear to me before.

    My question was related to the meaning with respect to a given strategy in Strategyquant.

    For example, I have a strategy abc with a z-score of 2,35 and z-probability of 0,94%.

    Does that mean to strategy abc, that the results of the strategy are 0,94% due to luck under the assumption the population of strategies are  bell curved?

    With other words, we can reject the H0: hyposthesis, that the strategy abc does not have any predictive performance(= is useless), because 0,94%<5% and therefore statisfically significant?

    Or with other words Z-probability is the risk with 0,94% (= type I error, or alpha error), to trade a system, that is useless and earn zero return &  take risk?

    Thanks for any help.

    Christian

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