Tag Archives: t-statistic

How Some Academics Misguide Traders And Hedge Funds

Some academics misguide traders and hedge funds in focusing on combating data-mining bias when in most cases this is an exercise in futility, increases Type-II error out of bounds (missed discoveries) and diverts attention from the real problem, which is … Continue reading

Posted in Trading Strategies | Tagged , , , , | Leave a comment

More on the Perils of Statistical Hypothesis Testing [Premium Articles]

Hypothesis tests based on one-sample t-tests and on bootstraps can be misleading, especially when returns are generated by an over-fitted trading strategy designed via machine learning and multiple comparisons. For access to premium content, you must be a subscriber. Please login if you … Continue reading

Posted in Trader education | Tagged , , | Comments Off on More on the Perils of Statistical Hypothesis Testing [Premium Articles]

Perils Of Statistical Hypothesis Testing [Premium Articles]

Statistical hypothesis testing results for the purpose of assessing the significance of trading and investment strategies must be carefully scrutinized because they are in most cases naive or can even be used to mislead the public. For access to premium content, you … Continue reading

Posted in Trader education | Tagged , , | Comments Off on Perils Of Statistical Hypothesis Testing [Premium Articles]

Sorry Bob But Jim Simons is Probably Laughing At Your T-Statistics

I avoid to attack fellow bloggers when I think they are wrong and I have never written that this or that person is wrong or, for example, that he knows no statistics. All people make mistakes, especially in a hard … Continue reading

Posted in Quantitative trading, Trend following | Tagged , , , | 9 Comments