The median is the middle value of a sorted series — half the observations lie above it, half below. It is a robust measure of central tendency: a few extreme outliers move the median much less than they move the mean.
In trading the median trade size, median holding period, or median drawdown often tells you more than the mean about typical experience. The mean can be dominated by a handful of outliers; the median describes the day-to-day.
When the return distribution is symmetric, mean and median coincide. When it is skewed (as most financial return distributions are), mean and median diverge — by how much is itself a useful statistic.
Formula
median(x) = x_{(⌈N/2⌉)} if N is odd; (x_{(N/2)} + x_{(N/2+1)}) / 2 if N is evenEsempio
Trade returns sorted: [-3%, -1%, 0%, 2%, 50%]. Mean = 9.6%, median = 0%. The median is a much better description of what most trades did.
Come Noon Barbari usa Median
Ogni concetto qui è implementato nella piattaforma. Apri la documentazione o lo strumento corrispondente per vederlo all'opera.
How we report backtests →Termini correlati
- Statistica
Mean
Arithmetic average of a series. In trading: average return per period.
- Statistica
Expectancy
Average profit (or loss) per trade — the most honest measure of edge.
- Statistica
Win rate
Fraction of trades that closed profitable. On its own, says little about edge.
- Statistica
Profit factor
Gross profit divided by gross loss. > 1.0 = profitable, > 1.5 = strong.