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SCUTA
Coming next5 planned lessons

Module 03

Statistics That Matter

The small set of statistics a systematic trader uses every week — distributions, volatility, correlation and sample size — and the ways each one misleads.

What you will be able to do

  • Describe a return distribution with its mean, standard deviation, skew and tails.
  • Annualise returns and volatility correctly, and know when the shortcut fails.
  • Estimate how many trades are needed before a win rate or expectancy means anything.
  • Read correlation, and recognise when it breaks down.

Planned lessons

  1. 1

    Distributions of returns

    Mean, median, standard deviation, skew and fat tails, measured on simulated data.

    Coming next

  2. 2

    Volatility and annualisation

    Daily to annual, the square-root-of-time rule, and where it stops being true.

    Coming next

  3. 3

    Sample size and confidence

    How many trades it takes before a win rate or expectancy can be told apart from luck.

    Coming next

  4. 4

    Correlation and dependence

    Measuring co-movement, rolling correlation, and why correlations rise in sell-offs.

    Coming next

  5. 5

    Randomness that looks like skill

    Random walks, streaks, and the convincing patterns that noise produces on its own.

    Coming next