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Easy · Statistics & Regression · Quant Trader interview question · statistics, hypothesis-testing, bonferroni-correction, multiple-comparisons
You are backtesting a trading strategy and want to avoid falsely identifying a profitable pattern due to random chance. You decide to run 20 independent hypothesis tests, each designed to evaluate a different aspect of the strategy's performance. You want to maintain a family-wise error rate (FWER) of $\alpha = 0.05$. Using the Bonferroni correction, what significance level should you use for each individual hypothesis test?