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Hi guys have you considered adding SPC (statistical process control) code to Explorer?
Pls look at this paper:
http://www.smallake.kr/wp-content/uploads/2016/06/Trading-Model-Uncertainty.pdf
SPC has predictive value on future returns. Below I manually used the average 5day returns for system XLN.
It would be great to have a code that can map these control charts based on daily % returns…
