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Statistical Significance

How many data points do you need to action something?

https://www.investopedia.com/terms/s/statistical-significance.asp

  • Yield Profiles - Group by Day/Week can be used to help explore/validate this.

  • Automation rehabilitation => When do they no longer satisfy a criteria

  • Guilty until proven innocent, or innocent until proven guilty?

A discussion of how many runs needed to get a good understanding of algorithmic order execution selection.

"Whenever you feel tempted to judge an algo after five runs - it happens to us all - please think of this study. Recall that this hypothetical algo with objectively strong results over the long run - it buys 50mio GBPUSD for 0.5 pips - is likely to deliver an average result after five runs of between minus 2.5 pips and plus 3 pips. There is simply too much noise or ‘luck’ in which outcome you’ll get over a handful of runs"

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