by **ac_1** » Mon Jan 17, 2022 12:36 pm

Thanks. My question is:

Is an econometric model forecasting the direction of the market better than if the forecasts would have been generated from a coin toss? 1 being correct direction, 0 incorrect direction.

Via R's qbinom a binomial with n=252 (say), probability p=0.5, and 95% confidence level i.e. alpha = 0,05; below 110 (number of correct directions) the forecasts from the econometric model are worse than if the forecasts would have been generated from a coin toss, and above 142 (number of correct directions) the econometric model forecasts are better than if the forecasts would have been generated from a coin toss.

Assuming the above is an appropriate method/result (if not, is there another technique?), how would I achieve the above in RATS?