SP500 Intelligence

Mat001 · Post by **Mat001** » Mon Apr 17, 2017 12:53 pm

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 · Post by pj » Tue Apr 18, 2017 9:28 am

IMHO, the independence of the returns hypothesis is the culprit.

Actually, I interpret the article as seriously tongue in cheek.

ronin · Post by **ronin** » Tue Apr 18, 2017 12:07 pm

"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.