{
  "title": "How Long Should You Backtest a Trading Strategy? Exact Zero-Edge Sharpe Benchmarks",
  "published": "2026-09-17",
  "method": "Exact Student-t order-statistic benchmark under an IID Normal, zero-true-Sharpe, independent-strategy null.",
  "assumptions": {
    "observationsPerYear": 252,
    "trueSharpe": 0,
    "returnModel": "IID Normal daily returns",
    "strategyDependence": "Independent strategy trials",
    "sharpeAnnualization": "sqrt(252)"
  },
  "columns": {
    "years": "Backtest length in years",
    "observations": "Daily observations",
    "independentTrials": "Number of independent strategy trials",
    "medianWinningAnnualizedSharpe": "Median annualized Sharpe of the selected maximum",
    "probabilityWinnerSharpeAtLeast1": "Probability the selected maximum is at least Sharpe 1.0",
    "probabilityWinnerSharpeAtLeast1_5": "Probability the selected maximum is at least Sharpe 1.5",
    "probabilityWinnerSharpeAtLeast2": "Probability the selected maximum is at least Sharpe 2.0"
  },
  "data": [
    {"years":1,"observations":252,"independentTrials":1,"medianWinningAnnualizedSharpe":0.0,"probabilityWinnerSharpeAtLeast1":0.159136786915,"probabilityWinnerSharpeAtLeast1_5":0.067435583839,"probabilityWinnerSharpeAtLeast2":0.023288893655},
    {"years":1,"observations":252,"independentTrials":10,"medianWinningAnnualizedSharpe":1.503629,"probabilityWinnerSharpeAtLeast1":0.823293091265,"probabilityWinnerSharpeAtLeast1_5":0.5025053661,"probabilityWinnerSharpeAtLeast2":0.209937839919},
    {"years":1,"observations":252,"independentTrials":100,"medianWinningAnnualizedSharpe":2.479471,"probabilityWinnerSharpeAtLeast1":0.999999970315,"probabilityWinnerSharpeAtLeast1_5":0.999071281692,"probabilityWinnerSharpeAtLeast2":0.905242712941},
    {"years":1,"observations":252,"independentTrials":1000,"medianWinningAnnualizedSharpe":3.233705,"probabilityWinnerSharpeAtLeast1":1.0,"probabilityWinnerSharpeAtLeast1_5":1.0,"probabilityWinnerSharpeAtLeast2":0.999999999942},
    {"years":2,"observations":504,"independentTrials":1,"medianWinningAnnualizedSharpe":0.0,"probabilityWinnerSharpeAtLeast1":0.078958931914,"probabilityWinnerSharpeAtLeast1_5":0.017191644872,"probabilityWinnerSharpeAtLeast2":0.002432201387},
    {"years":2,"observations":504,"independentTrials":10,"medianWinningAnnualizedSharpe":1.061501,"probabilityWinnerSharpeAtLeast1":0.560670918103,"probabilityWinnerSharpeAtLeast1_5":0.159208332943,"probabilityWinnerSharpeAtLeast2":0.02405753093},
    {"years":2,"observations":504,"independentTrials":100,"medianWinningAnnualizedSharpe":1.747054,"probabilityWinnerSharpeAtLeast1":0.999732145141,"probabilityWinnerSharpeAtLeast1_5":0.823443387265,"probabilityWinnerSharpeAtLeast2":0.21613337895},
    {"years":2,"observations":504,"independentTrials":1000,"medianWinningAnnualizedSharpe":2.273716,"probabilityWinnerSharpeAtLeast1":1.0,"probabilityWinnerSharpeAtLeast1_5":0.999999970567,"probabilityWinnerSharpeAtLeast2":0.912416617206},
    {"years":3,"observations":756,"independentTrials":1,"medianWinningAnnualizedSharpe":0.0,"probabilityWinnerSharpeAtLeast1":0.041836470466,"probabilityWinnerSharpeAtLeast1_5":0.004778765735,"probabilityWinnerSharpeAtLeast2":0.000281007026},
    {"years":3,"observations":756,"independentTrials":10,"medianWinningAnnualizedSharpe":0.866245,"probabilityWinnerSharpeAtLeast1":0.347776619049,"probabilityWinnerSharpeAtLeast1_5":0.04677299706,"probabilityWinnerSharpeAtLeast2":0.002806519499},
    {"years":3,"observations":756,"independentTrials":100,"medianWinningAnnualizedSharpe":1.424789,"probabilityWinnerSharpeAtLeast1":0.986069598503,"probabilityWinnerSharpeAtLeast1_5":0.380611175674,"probabilityWinnerSharpeAtLeast2":0.027713389863},
    {"years":3,"observations":756,"independentTrials":1000,"medianWinningAnnualizedSharpe":1.853014,"probabilityWinnerSharpeAtLeast1":1.0,"probabilityWinnerSharpeAtLeast1_5":0.991689375674,"probabilityWinnerSharpeAtLeast2":0.245006784527},
    {"years":5,"observations":1260,"independentTrials":1,"medianWinningAnnualizedSharpe":0.0,"probabilityWinnerSharpeAtLeast1":0.012760983682,"probabilityWinnerSharpeAtLeast1_5":0.000409959701,"probabilityWinnerSharpeAtLeast2":0.000004221268},
    {"years":5,"observations":1260,"independentTrials":10,"medianWinningAnnualizedSharpe":0.670701,"probabilityWinnerSharpeAtLeast1":0.12052579474,"probabilityWinnerSharpeAtLeast1_5":0.00409204226,"probabilityWinnerSharpeAtLeast2":0.000042211873},
    {"years":5,"observations":1260,"independentTrials":100,"medianWinningAnnualizedSharpe":1.102603,"probabilityWinnerSharpeAtLeast1":0.723158583689,"probabilityWinnerSharpeAtLeast1_5":0.040175070021,"probabilityWinnerSharpeAtLeast2":0.000422038558},
    {"years":5,"observations":1260,"independentTrials":1000,"medianWinningAnnualizedSharpe":1.433199,"probabilityWinnerSharpeAtLeast1":0.999997355701,"probabilityWinnerSharpeAtLeast1_5":0.336378788944,"probabilityWinnerSharpeAtLeast2":0.004212379354},
    {"years":10,"observations":2520,"independentTrials":1,"medianWinningAnnualizedSharpe":0.0,"probabilityWinnerSharpeAtLeast1":0.000792012367,"probabilityWinnerSharpeAtLeast1_5":0.000001109371,"probabilityWinnerSharpeAtLeast2":0.00000000015},
    {"years":10,"observations":2520,"independentTrials":10,"medianWinningAnnualizedSharpe":0.474105,"probabilityWinnerSharpeAtLeast1":0.007891955443,"probabilityWinnerSharpeAtLeast1_5":0.000011093653,"probabilityWinnerSharpeAtLeast2":0.000000001497},
    {"years":10,"observations":2520,"independentTrials":100,"medianWinningAnnualizedSharpe":0.779111,"probabilityWinnerSharpeAtLeast1":0.076174998359,"probabilityWinnerSharpeAtLeast1_5":0.000110930995,"probabilityWinnerSharpeAtLeast2":0.000000014975},
    {"years":10,"observations":2520,"independentTrials":1000,"medianWinningAnnualizedSharpe":1.012294,"probabilityWinnerSharpeAtLeast1":0.547209699923,"probabilityWinnerSharpeAtLeast1_5":0.001108756354,"probabilityWinnerSharpeAtLeast2":0.00000014975},
    {"years":20,"observations":5040,"independentTrials":1,"medianWinningAnnualizedSharpe":0.0,"probabilityWinnerSharpeAtLeast1":0.000003957203,"probabilityWinnerSharpeAtLeast1_5":0.000000000011,"probabilityWinnerSharpeAtLeast2":0.0},
    {"years":20,"observations":5040,"independentTrials":10,"medianWinningAnnualizedSharpe":0.335189,"probabilityWinnerSharpeAtLeast1":0.000039571322,"probabilityWinnerSharpeAtLeast1_5":0.000000000109,"probabilityWinnerSharpeAtLeast2":0.0},
    {"years":20,"observations":5040,"independentTrials":100,"medianWinningAnnualizedSharpe":0.550721,"probabilityWinnerSharpeAtLeast1":0.000395642759,"probabilityWinnerSharpeAtLeast1_5":0.000000001093,"probabilityWinnerSharpeAtLeast2":0.0},
    {"years":20,"observations":5040,"independentTrials":1000,"medianWinningAnnualizedSharpe":0.715401,"probabilityWinnerSharpeAtLeast1":0.003949391025,"probabilityWinnerSharpeAtLeast1_5":0.000000010934,"probabilityWinnerSharpeAtLeast2":0.0}
  ],
  "limitations": [
    "Real strategy variants are usually correlated, so literal trial count is not automatically independent search breadth.",
    "Real returns can be serially dependent, heteroskedastic, skewed, and heavy-tailed.",
    "The benchmark does not test transaction costs, data leakage, survivorship bias, regime coverage, or out-of-sample performance.",
    "The table is a null benchmark, not a universal minimum-backtest-length rule."
  ]
}