Table 2 Probability of outperforming a trading strategy by chance.

From: Revisiting the use of web search data for stock market movements

Strategy

Probability of being outperformed by chance

Kristoufek (2013)

2.45e-1

Preis et al. (2013)

1.17e-01

Heiberger (2015)

1.21e-01

Adaptive

9.08 × 10 −4

  1. We compare the performance of the trading strategies that are based on web search data with their corresponding randomized strategy, i.e., replacing trading decisions with uncorrelated random choices. The KDEs of the final portfolio value of the randomized strategies are computed from 10,000 independent realizations. From the KDE we calculate the probability that a better performance than trading using web search data can be obtained by chance. The probability that the performance of the adaptive strategy is due to chance is extremely small (9.08e-4). When compared with other strategies, this probability is at least two orders of magnitude smaller.
Back to article page