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Use statistical bootstrapping to validate an algorithmic trading strategy

After collecting the backtest data from your latest systematic trading system, the final step is to decide whether or not the strategy is fit to be used in a live setting. Subjectively, there are a range of indicators that could be looked into to take the final decision. Here we will consider one that is based around the observed average return-per-trade. It is a particularly interesting approach as it allows us to derive the probability for the strategy to have an edge.

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