Quality Money Management : Process Engineering and Best Practices for Systematic Trading and Investment

256 CHAPTER ◆ 2 8 Perform SPC Analysis

In this example, both X bar and R are observations of a random variable. Given the

sample, the mean and the range of each week ’ s returns can be computed and are shown

by X bar and R.

X

X

k

∑ i

and

R

R

k

∑ i

X barbar is the estimate of  (^) X and R bar is the estimate of  (^) R. Thus,
X
and

X

R

d



2

TABLE 28-1

M T W Th F Xbar R

 0.0050  0.0270  0.0093  0.0122 0.0246  0.0058 0.0516

0.0239  0.0133  0.0067 0.0148 0.0221 0.0082 0.0372

0.0232 0.0163  0.0005 0.0137  0.0278 0.0050 0.0509

 0.0230  0.0120  0.0208  0.0148  0.0058  0.0153 0.0172

0.0181 0.0005 0.0100  0.0193  0.0090 0.0001 0.0374

 0.0148 0.0032 0.0144 0.0260 0.0082 0.0074 0.0407

0.0037  0.0115  0.0096  0.0173 0.0009  0.0068 0.0210

0.0100 0.0154 0.0045 0.0144  0.0180 0.0053 0.0334

0.0013 0.0235 0.0256 0.0221 0.0022 0.0149 0.0243

 0.0079 0.0099 0.0085  0.0078 0.0002 0.0006 0.0178

 0.0246 0.0169  0.0037  0.0051 0.0102  0.0013 0.0415

0.0012  0.0110 0.0008 0.0088 0.0115 0.0023 0.0226

 0.0417  0.0036  0.0181 0.0178 0.0164  0.0058 0.0595

 0.0096 0.0075 0.0254 0.0030  0.0063 0.0040 0.0350

0.0006 0.0218  0.0008 0.0101 0.0140 0.0092 0.0226

 0.0045 0.0209 0.0022 0.0169  0.0018 0.0068 0.0253

 0.0008 0.0025 0.0112 0.0181  0.0115 0.0039 0.0296

0.0141 0.0230  0.0096  0.0307  0.0112  0.0029 0.0538

0.0266 0.0238 0.0001  0.0128  0.0224 0.0031 0.0490

0.0016 0.0078 0.0350  0.0069 0.0214 0.0118 0.0418

X barbar R bar

0.0022 0.0356