Best of N Lengths vs Shuffled Data: Is the Optimum Real?WHAT IT DOES
Scan a moving-average rule over several lengths and one of them comes out on top. This indicator asks whether that top length found something in the order of the bars or is just the luckiest of N tries. It scores one rule, long when the close is above SMA(L) and flat otherwise, for N lengths (10 lengths from 10 to 100 by default) on the last M confirmed bars (1,500 by default). Then it scores the same N lengths on K shuffled copies of the same bar returns (30 by default) and compare
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