Bootstrapping Backtest Confidence Bands
One equity curve is one sample. A bootstrap confidence interval on a backtest Sharpe is often wide enough to contain zero. Here is how to build and read one.
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One equity curve is one sample. A bootstrap confidence interval on a backtest Sharpe is often wide enough to contain zero. Here is how to build and read one.
Cointegration is what pairs trading actually needs, and correlation is not the same test. Build the hedge ratio, spread and z score by hand on real closes.