Data snooping (Part II)

Suppose one had 13 bits available to specify a set of days on which a fund rises. One could use these bits to specify about six days on which the fund does rise, and then pick a random set of remaining days.
- The performance of such a strategy would follow a binomial distribution with mean (n-6)p + 6 and standard deviation sqrt((n-6)p(1-p)).

Calculating these adjusted z-scores gives the following: Rule 0: 57 firings, 63% wins, adj.zscore 1.8 Rule 1: 187 firings, 63% wins, adj.zscore 3.7 Rule 2: 209 firings, 62% wins, adj.zscore 1.4 Only Rule 1 is unquestionably statistically reliab

Suppose one had 13 bits available to specify a set of days on which a fund rises. One could use these bits to specify about six days on which the fund does rise, and then pick a random set of remaining days.