Check whether a track record could be luck
luck_checkTests whether a trading strategy's claimed track record could be luck. Returns how often the best of that many strategies with no edge at all would look this good, the record's t-statistic against the bar for that many tries, and how many months a real edge of this size needs to clear the bar with 80% probability. A rough check: it assumes independent months and ignores costs, so a real audit of the signals usually looks worse.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| months | Yes | Months of results in the track record, from 2 to 1200. | |
| versionsTried | No | How many versions or variations were tried before this one was picked. If unknown, use 10. | |
| monthlySwingPercent | Yes | Typical monthly swing: the standard deviation of monthly returns, in percent. Stock strategies usually sit between 4 and 8. | |
| averageMonthlyReturnPercent | Yes | Average return per month, in percent. 1.5 means +1.5% a month. |