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Forum Captain

Total Posts: 1491
Joined: Jun 2004
Posted: 2018-09-21 20:05
Recently, in this thread TonyC attached the paper by Henriksson and Merton where they give a statistical test for evaluation of market timing.

I thought it'd be a fun thing to try and not too hard either. I thought I'd be forgiven for sharing the results although I do apologize for bragging.

I reject the null hypothesis [that there is no forecasting skill] with the confidence level corresponding to 5.5 standard deviations, something like 99.99999%.

For every complex problem there is an answer that is clear, simple and wrong. - H. L. Mencken
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