Ruined by Hypothesis Testing [Premium Articles]

Hypothesis testing is often a naive way of assessing the significance of trading strategies because results are conditioned on historical data and can be plagued by multiple comparisons. This is the story of Don, an ambitious fund manager who got into trouble after applying hypothesis testing to a trend-following strategy.

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One Response to Ruined by Hypothesis Testing [Premium Articles]

  1. Maverick says:

    Dear Mike,
    Isn't your price action system based strictly on data mining too? Or maybe put it differently, pattern mining?

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