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Is time travel a form of arbitrage?

http://www.bloomberg.com/news/articles/2015-06-28/with-61-seconds-in-a-minute-markets-brace-for-trouble

I think he got cut off by the admins. He was running a pump and dump on some European porn company

I'm not sure why this is relevant? We are talking sample size determination, not Bayesian Inference or statistical model building.

Noone said anything about algo trading being simple... The question was how much data is needed to produce a reliable backtest...and it appears I'm the only one who used any math (simple or otherwise) to produce a number. It's astonishing that my response receives more criticism than those that...

So the use of simple statistical tests for a simple problem implies a lack of solid statistical foundation? Interesting the conclusions that people can come to..

Okay, so you are saying there is no value in back testing?

The test was to determine if the results are produced by random chance. It's completely relevant.

Of course it is prone to curve-fitting, data snooping, and other biases. I guess I didn't explicitly state that the simulation should be done on out sample data, but I figured that was implied.... guess not. You seem to have a lot of opinions on what doesn't work... I'd love to hear what does?

Yes, the numbers I quoted are for a 50% win rate, but they can be easily adjusted for expected win rate... 50% win rate results in the most pessimistic sample size requirements, which is why I quoted them. The only thing I have stated is that you need X number of trades to claim your backtest...

Correct, but the risk:reward is irrelevent. All the monte carlo simulation is seeking to determine is if the returns produced by the "system" during backtest are likely or unlikely to have been produced by random chance. A market model isn't being varied, entries and exits are. I dont do...

I wrote the program, so yeah,, i know what its doing. Just google sample size determination and hypothesis testing. No sense reproducing what is all over the internet. The numbers i referenced are for a simple pass fail/test binomial test, which as i stated in a previous post may be an...

Okay.... The point I was making was 30 samples is not enough for a relevant study.. ....did you even read the entire thread, or are your trying to sell PAL subscriptions?

I did not say 30 trades....someone else did, and I produced a graph showing the problem with only 30 trades. Are you just thick, or do you struggle with English? No one said anything about flipping a coin...no one said anything about hypothesis tests guaranteeing profits. I prefer to have some...

Binomial hypothesis tests and z score sample size. I have a program that computes them

How many profitable/unprofitable trades? What are the $ values of your average winner/loser?

Depends on the nature of the strategy. If he is trading the same strategy, with the same parameters, on multiple assets, it could be significantly less. You could also invoke "Population Size" and say only one trade per day is possible... but that is cheating in my opinion. For trading...

Well consider this: Lets say you can test 100 trades, and want to do 99% confidence. This would mean your margin of error is about 13%. To reject the null hypothesis, you would need to have 61/100 profitable trades. But there is a stochastic element to the market, and the backtest is only...

According to simple sampling theory (emphasis on simple... maybe too simple), for a strategy to be statistically significant with a confidence level of 99% and a margin of error of 5%... You would need to conduct at least 666 trades, and 363 of them would have to be profitable to reject the null...

I don't think you are allowed to charge a "performance fee" with non-accredited investors (I could be wrong). (I have no legal knowledge... so take what I'm about to say with a grain of salt...) If your mind is set on starting a fund of sorts, I would say go the Proprietary Trading Business...