Hi,
i have developed two trading strategies: TSFDC and BA
i used a rolling window approach. here is the profits obtained by the strategies:
TSFDC BA
Jan 2015 6.02 5.18
Feb 2015 4.31 4.55
Mar 2015 -2.54 -1.0
....
....
July 2015 4.2 6.3
a total of 7 rolling windows (7 months). i need to find out whether one strategy is better than the other.
i believe that my data is: Metrics (not categorical), unpaired, non-parametrics.
i checked many tests, and found that "Mann–Whitney_U_test" is a good test for this purpose.
may i right? or...
thank you
Hi Amer,
Yes you are correct,
'It is a non-parametric test that is used to compare two population means that come from the same population, it is also used to test whether two population means are equal or not. It is used for equal sample sizes, and is used to test the median of two populations. Usually the Mann-Whitney U test is used when the data is ordinal. Wilcoxon rank sum, Kendall’s and Mann-Whitney U test are similar tests and in the case of ties, it is equivalent to the chi-square test.'
Hope this helps
