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  1. Hi Rob, in your book "systematic trading" you show that it takes an unexpectedly long period of backtesting data to support a significant positive Sharpe ratio. I would have thought that the significance of backtesting Sharpe ratio would be related to the number of trades rather than the duration of the backtest. Hence, a backtest of strategy with thousands of trades in say two years may be more signifncant that 20 years of backtesting of a strategy with only 100 trades.... Could you please elaborate? Thank you.

    1. You could look at the distribution of trades rather than of time history, but it won't usually give you more statistical significance unless by trading more often you also get higher annualised performance. I haven't got time or space to explain the maths here, but this would be a good choice for a future blog post.

    2. I'd love to see a blog post on this!

      by annualised performance do you mean sharpe ratio for that year or straight returns?

    3. supposing it is only returns for that year, I guess you'd also gain statistical significance if trading more often also gave you lower variance?

    4. Annualised performance is just performance for the year.