I want to evaluate a trading strategy. My goal is not to compare it with other strategies, but rather to determine how likely it is that the profits are generated from the strategy itself rather than luck. Indeed, the market volatility is very high and of same order of magnitude than the strategy profits.
My starting point would be to compare the strategy with a large number of random strategies that are backtested for the same time period. By random strategy I mean a strategy where assets are randomly bought and sold. I can then determine the likely-hood that the strategy profits are explainable by luck.
Could you please comment on this test or propose alternative tests?
Edit: The strategy has been running live for one month. Profits refers to live profits, not backtest