Published 2026-10-14
Confidence interval
A confidence interval gives the range a result plausibly falls in, given the noise in the data. A backtest return quoted without one is a point estimate pretending to be a fact.
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What it is
A confidence interval gives the range a result plausibly falls in, given the noise in the data.
A return of 12% is not a fact. A return of 12% with a wide interval around it may be indistinguishable from zero — which is a very different piece of information.
Why it is usually missing
A single number is more persuasive than a range. That is exactly why it appears alone.
A strategy’s return over a period is a sample. The interval says how much of it could be noise.
How to check
Ask two things: how long is the sample, and how wide is the interval?
- Short sample, no interval: the number could be luck
- Long sample, narrow interval: the number is at least well-measured
The number most often quoted is the one least likely to be reproduced.