False Positive Errors and Introduced Auto-correlation
confirmsignal.substack.com
In my previous report I messed up my result by introducing an auto-correlation false positive into my results. I've corrected my infrastructure to prevent that sort of thing from happening again, and thought it would warrant some explanation. In my analysis I check the effect of signals on future returns. I do that by separating out "signal" and "non-signal" returns and compare their distributions. This is straightforward and easy with 1 period returns, you won't run into trouble. If you want to cover multiple periods with a single return value however, you can accidentally guarantee a positive test result.
False Positive Errors and Introduced Auto-correlation
False Positive Errors and Introduced…
False Positive Errors and Introduced Auto-correlation
In my previous report I messed up my result by introducing an auto-correlation false positive into my results. I've corrected my infrastructure to prevent that sort of thing from happening again, and thought it would warrant some explanation. In my analysis I check the effect of signals on future returns. I do that by separating out "signal" and "non-signal" returns and compare their distributions. This is straightforward and easy with 1 period returns, you won't run into trouble. If you want to cover multiple periods with a single return value however, you can accidentally guarantee a positive test result.