Difficulty: Medium
Category: backtesting
Asked at: Jane Street, Citadel, WorldQuant, Two Sigma, Citadel Securities, AQR Capital Management, Goldman Sachs, Man Group
Topics: statistics, hypothesis testing, scipy
Hypothesis testing provides a statistical framework to determine if a trading strategy's average return is significantly different from zero or merely the result of random noise. By calculating the T-Statistic and P-Value, quantitative researchers can assess the validity of a strategy against a null hypothesis of zero mean return. This process is essential for rigorous backtesting and minimizing false discoveries in algorithmic trading. Task Implement a function solution(returns) that calculate
Practice this medium researcher interview question on MyntBit - the LeetCode for quants with 200+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.