Statistical testing trading strategies
In very brief terms, the concept uses hypothesis testing to verify whether the test statistic such as mean return of the back-testing sample is statistically statistical testing trading strategies. My understanding is that you had 2 strategies already optimized in this test and then you did a simple hypothesis test for 1 mean. Or are trade return order just reshuffled? Sy blog — Au tomated Tra ding Sy stem.
Does this have any effect? Given an initial sample of trees. It is mostly related to variance within the sample: Am I missing something here? Sy recommends CSI Data.
In practical terms, this is translated to the population distribution of rule returns having an expected value of zero or less. Does it make sense to subtract mean and center distribution to zero? As mentioned in the Evidence-based Technical Analysis review postthe main value of the book lies in the presentation of the two methods allowing for computing the statistical significance of trading strategy results, despite having a single sample of data:. I am usually no big fan of arithmetic mean of returns as it is a flawed indicator of profitability.
The improved strategy results can be thought of 2 distinct parts:. And I think the bootstrap, amongst other methods, tries with some weaknesses that you highlight to address this issue to statistical testing trading strategies whether the performance is more likely coming from random luck or strategy value. Were the Turtles just lucky? Or are trade return order just reshuffled?
Enter your email address: I then computed the daily returns based on that equity curve. You also allude to dependency in the results — which is obviously discarded in this sort of approach and might indeed indeed be a weakness of the methodology.
I then computed the daily returns based on that equity curve. When taking the square root for geometric average the average return is Or are trade return order just reshuffled? I agree, this can seem counter-intuitive to reshuffle the results like this and I do have mixed feelings about statistical testing trading strategies aspects of the approach — detrending for instance as I mentioned before — especially for strategies like trend following. The Bootstrap Method for Hypothesis Testing:
Of course you were able to reject Statistical testing trading strategies. I then computed the daily returns based on that equity curve. Can it tell us anything we do not know? To use an example from the book:.
Sy blog — Au tomated Tra ding Sy stem. The content on this site is provided as general information only and should not be taken as statistical testing trading strategies advice. Once the p-value is obtained, it is simply a matter of deciding which threshold qualifies for statistical significance.
In that instance, the benchmark is the standard strategy and we want to check that statistical testing trading strategies strategy improvement was not the result of random chance. Any action that you take as a result of information or analysis on this site is ultimately your sole responsibility. Does it make sense to subtract mean and center distribution to zero? A dog having four legs a profitable rule having a positive mean statistical testing trading strategies return does not imply that any four-legged animal is a dog ie. Past performance is not necessarily indicative of future results.