Actually, a streak has to be 2 or more of the same sign in a row, so the R in the example given would be 5. Not sure how that changes things in your test system....garyfritz wrote:Thanks, George. So it looks like they invented their own measure and gave it an already-well-established name.
I'm not sure I'm interpreting their explanation right. I understand their R to be "the number of streaks of wins + number of streaks of losses." So for the series of blue +/- right after the Z-score formula, I think R is 7: 1 (9 wins), 2 (6 losses), 3 (1 win), 4 (3 losses), etc.
But if I use that definition of R, I get a Z-score of -1.21 on my test system, indicating about a 75% chance of a win following a loss and vice versa. That seems unlikely, since my "streakiniess" calculation on the same series returns 0.52, nearly random.
I think I prefer my measure.
So, are you going to name yours the G-Score or the F-Score?