I imagine that most readers of this list will put your question in the
too hard basket.
That being so, here is my inexpert take on the question.
The issue is to estimate the uncertainty in the estimated difference of
the means.
This uncertainty depends on the nature of the serial dependence
> Dear all
>
> I have one question that I struggle to find an answer:
>
> Let`s assume I have 2 timeseries of daily PnL data over 2 years coming from 2
> different trading strategies. I want to find out if strategy A is better than
> strategy B. The problem is that the two series have serial co
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