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Mat001


Total Posts: 33
Joined: Aug 2014
 
Posted: 2017-04-17 12:53
In this article the author concludes I believe that the S&P 500 is an intelligent trading strategy based on some hypotheses tests.

Does this from the paper make sense?

t-statistic = (mean return/standard deviation) × sqrt(number of years)

Also, does a bootstrap make sense? I would think it does not make much sense.


pj


Total Posts: 3342
Joined: Jun 2004
 
Posted: 2017-04-18 09:28
IMHO, the independence of the returns hypothesis is the culprit.
Actually, I interpret the article as seriously tongue in cheek.



The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken

ronin


Total Posts: 219
Joined: May 2006
 
Posted: 2017-04-18 12:07
"Here is something with Sharpe 0.5. Let's test the hypothesis that it has Sharpe zero."

Sadly, probably not tongue in cheek at all.

"People say nothing's impossible, but I do nothing every day" --Winnie The Pooh
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