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.
You must be logged in to reply to this topic.