1 Using Snippet 15 5 Compute For The Strategy Described In Exercise 3 At A Significa 2664117

1. Using Snippet 15.5, compute  for the strategy described in exercise 3. At a significance level of 0.05, would you discard this strategy? Is this result consistent with PSR[𝜃∗]?

2. In general, what result do you expect to be more accurate, PSR[𝜃∗] or  How are these two methods complementary?

3. Re-examine the results from Chapter 13, in light of what you have learned in this chapter.

(a) Does the asymmetry between profit taking and stop-loss thresholds in OTRs make sense?

(b) What is the range of p implied by Figure 13.1, for a daily betting frequency?

(c) What is the range of p implied by Figure 13.5, for a weekly betting frequency?

 

 

 

 

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