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I have created a trading strategy and computed the monthly returns of it. I have a list of 12 monthly returns, since I have a 1-years period. Furthermore, I computed the average monthly return for the year, which is 1 number. I am trying to replicate a study, in which there is a t-statistic value attached to the average monthly return for the year. Like this: 2020-> average monthly return = 0,2 -> t-statistic: 5,54.

How can I compute the t-statistic in this case? I have searched and found that it is necessary to have 2 groups of variables for that, but I only have the returns. I want to compute it in Python.

user17717499
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  • What do you mean by *t-statistic*? – Daweo Apr 04 '22 at 12:13
  • you mean a t-test maybe? a t-statistic is useless without an interpretation (in this case the expected value) – Alberto Sinigaglia Apr 04 '22 at 12:14
  • Is the a math question? I dont see any code. – Cow Apr 04 '22 at 12:17
  • In the paper I am following, it is written T-statistic, but I think it is meant T-test. – user17717499 Apr 04 '22 at 12:26
  • @user56700 it is a more statistical than code question, because even though I will perform it on Python, I need to clarify the mathematical part first. – user17717499 Apr 04 '22 at 12:27
  • well what's the hypothesis? your average gain = the study average gain? – Alberto Sinigaglia Apr 04 '22 at 12:35
  • I am not sure about the hypothesis. Maybe I am not interpreting the paper well, and so, the paper helps more than anything I write. The paper is this one: https://sci-hub.ru/https://doi.org/10.1017/S0022109015000575 On page 11, there is table 2. This is the one I am referring to. I don't understand the values in parentheses. – user17717499 Apr 04 '22 at 12:48

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