z-Score / z-Probability

Dear all,

I would like to know, what the exact meaning of z-score and z-probability in result table is.

I could not find anything in the documentation about it.

Thanks for help in advance.

Christian

https://statistics.laerd.com/statistical-guides/standard-score.php

Thanks for the link.

In principal the meaning of z-score and z-probabilty was in general clear to me before.

My question was related to the meaning with respect to a given strategy in Strategyquant.

For example, I have a strategy abc with a z-score of 2,35 and z-probability of 0,94%.

Does that mean to strategy abc, that the results of the strategy are 0,94% due to luck under the assumption the population of strategies are  bell curved?

With other words, we can reject the H0: hyposthesis, that the strategy abc does not have any predictive performance(= is useless), because 0,94%<5% and therefore statisfically significant?

Or with other words Z-probability is the risk with 0,94% (= type I error, or alpha error), to trade a system, that is useless and earn zero return &  take risk?

Thanks for any help.

Christian

I think this will help you

https://online.stat.psu.edu/stat500/lesson/3/3.3/3.3.3#:~:text=Z%2Dvalue%2C%20Z%2Dscore,properties%20of%20the%20standard%20normal.&text=If%20you%20scored%20an%2080,0.74%20SD%20above%20the%20mean.