Research method
Runs test
Runs test is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The graph1
How the method is built, and where it has been read
Depends on
Often reviewed together
Autocorrelation test5 readings
Read in the archive20 readings
1984When random walks fail to explain market averages1986Constructing runs and persistence tests from labeled prices1986Evaluating daily price and volume serial independence windows1986Weekly resamples as a diagnostic filter for statistical windows1986Evaluating advance-decline plus-day runs against chance baselines1987Evaluating money-supply serial dependence before a forecast1988Runs test as a critique of price-series memory1989Evaluating weekday close direction with a counted baseline1989Auditing price motifs against binomial chance1989Statistical windows for indicator time parameters1991Evaluating quarterly return runs with historical analogs1992Channel-height ratios for equity trend evaluation1998The runs-test as a contract-sizing gate2001A runs test before volatility and expected-value sizing2005Evaluating persistence with runs and autocorrelation2005Constructing runs-test z-scores for signed return persistence2005Weekday FX turning points and close run tests2013Constructing a runs-test turn forecast2017Star rating from slope and swing runs2018Regime-dependent odds after directional price runs
This registry entry describes a research method. It is not investment advice and does not make a performance claim.