What you will learn
- Expectancy intervals
- Win-rate intervals
- Bootstrap limitations
- Drawdown distribution
Expectancy intervals
A point estimate summarizes a sample, such as mean net return. It is not the true future value known with certainty. Pair it with the sample definition and an appropriate uncertainty measure.
Win-rate intervals
A confidence interval is produced by a procedure under assumptions. Its frequentist coverage describes repeated applications of that procedure, not a guarantee that a particular trading outcome will fall inside it. State the model and dependence assumptions.
Bootstrap limitations
Bootstrap resampling approximates variability from the observed data under a resampling scheme. Resampling individual observations assumes a structure that may be unsuitable for dependent time series; blocks can preserve some dependence but introduce choices of their own.
Drawdown distribution
Quantiles describe distribution thresholds and can be unstable in small samples, especially in the tails. A historical worst loss is only the worst observed loss, not a proven bound on future loss.
Worked example
An estimated mean is positive but its uncertainty interval spans negative values under a defensible method. The sample does not establish a positive mean with the chosen level of confidence merely because the point estimate is above zero.
Try it yourself
Write a conclusion for that result without converting uncertainty into either a guaranteed edge or proof that the strategy can never work.
Show the worked solution
Report the estimate, interval, method and sample limitations. Explain that the data does not separate the mean from nonpositive values under those assumptions; additional evidence or a different justified design may change the assessment.
Apply this to your course project
Write a performance report with confidence intervals and dependence caveats.
Keep the calculation inputs, assumptions and decisions with your work. Practical exercises are self-reviewed; the scored knowledge checks assess the questions shown, not an independent certification of practical competence.