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Agustin Lebron
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The Laws of Trading: A Trader's Guide to Better Decision-Making for Everyone
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“A surprisingly good heuristic for "how outlier-y/crappy is my data":
- N is number of datapoints.
- Sort your data.
- Get rid of the first and last k * sqrt(N) points.
For what value of k does the data start to look "sensible"?
k < 0.3: pretty good data
k > 3: pretty bad data”
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- N is number of datapoints.
- Sort your data.
- Get rid of the first and last k * sqrt(N) points.
For what value of k does the data start to look "sensible"?
k < 0.3: pretty good data
k > 3: pretty bad data”
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