Firstly I am a newbie so I will apologise in advance if this is in the wrong forum. My question concerns testing for an equity trading strategy and I would appreciate any comments as to whether my approach is sensible or an alternative methodology would be more appropriate.
(a) Since I have a limited amount of historical data, circa 10 years, for test purposes and to reduce data snooping I have selected to use a stationary bootstrap technique to resample the returns data.
(b) I then evaluate the various strategies based on the resampled data.
(c) Based on repeating steps (a) and (b) for say 100 iterations I then determine the modal value of the test metric.
(d) Thereafter I carry out a paired 'T' test on the modal value to identify whether any variation is significant.
I would very much appreciate guidance as to whether the above approach is sensible.