[R-SIG-Finance] Non-parametric tests in R

Fri May 15 21:22:01 CEST 2009

Lets say I have a population of 500 datapoints, which is clearly not normal.
(Please see attached text file for an example population). These datapoints
can be assumed to be IID. Now, I get 30 more datapoints and want to test if
these have been drawn (with replacement) from the population. I'm doing the
followin:

1. Since the population is non-normal, I'm unable to use regular t-tests. I
am trying to use Wilcoxon's rank sum test in R. I'm not sure if it only
compares the new sample with the median of the population or does it also
compare the central tendency of the dataset around the median.

2. I'm bootstrapping 5000 samples (resampling), of size 30 from the
population and recording their means and standard deviations and trying to
infer if my sample mean is within acceptable range. I'm using the concept of
Law of Large Numbers, however, I'm not sure if this is an acceptable
methodology.

Any thoughts on this will be great.
-Nandi

-- 
I'm a great believer in luck, and I find the harder I work the more I have
of it.  ~Thomas Jefferson

Subhrangshu Nandi
High Frequency Trading
Greater Chicago Area
Office:(312) 601-8096
EFax: (703) 852-7405
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Date	DailyNetProfit
1/2/2007	-51
1/3/2007	-221
1/4/2007	325
1/5/2007	433
1/8/2007	397
1/9/2007	750
1/10/2007	152
1/11/2007	519
1/12/2007	-272
1/16/2007	296
1/17/2007	412
1/18/2007	-45
1/19/2007	-59
1/22/2007	315
1/23/2007	174
1/24/2007	233
1/25/2007	214
1/26/2007	143
1/29/2007	252
1/30/2007	316
1/31/2007	356
2/1/2007	151
2/2/2007	148
2/5/2007	180
2/6/2007	179
2/7/2007	50
2/8/2007	262
2/9/2007	-882
2/12/2007	-252
2/13/2007	81
2/14/2007	-446
2/15/2007	151
2/16/2007	32
2/20/2007	181
2/21/2007	254
2/22/2007	329
2/23/2007	266
2/26/2007	119
2/27/2007	28
2/28/2007	470
3/1/2007	375
3/2/2007	393
3/5/2007	126
3/6/2007	441
3/7/2007	527
3/8/2007	-1187
3/9/2007	369
3/12/2007	-334
3/13/2007	235
3/14/2007	-1022
3/15/2007	238
3/16/2007	-77
3/19/2007	23
3/20/2007	40
3/21/2007	32
3/22/2007	-1147
3/23/2007	389
3/26/2007	-718
3/27/2007	222
3/28/2007	-68
3/29/2007	433
3/30/2007	-144
4/2/2007	235
4/3/2007	438
4/4/2007	342
4/5/2007	-203
4/10/2007	212
4/11/2007	48
4/12/2007	496
4/13/2007	144
4/16/2007	-226
4/17/2007	59
4/18/2007	104
4/19/2007	459
4/20/2007	460
4/23/2007	134
4/24/2007	33
4/25/2007	149
4/26/2007	101
4/27/2007	451
4/30/2007	137
5/2/2007	114
5/3/2007	-41
5/4/2007	-114
5/7/2007	166
5/8/2007	-43
5/9/2007	-96
5/10/2007	434
5/11/2007	8
5/14/2007	137
5/15/2007	319
5/16/2007	349
5/17/2007	294
5/18/2007	207
5/21/2007	-197
5/22/2007	194
5/23/2007	158
5/24/2007	-37
5/25/2007	406
5/29/2007	216
5/30/2007	179
5/31/2007	24
6/1/2007	294
6/4/2007	163
6/5/2007	199
6/6/2007	821
6/7/2007	464
6/8/2007	36
6/11/2007	354
6/12/2007	201
6/13/2007	598
6/14/2007	243
6/15/2007	0
6/18/2007	231
6/19/2007	235
6/20/2007	246
6/21/2007	528
6/22/2007	-44
6/25/2007	351
6/26/2007	75
6/27/2007	507
6/28/2007	100
6/29/2007	235
7/2/2007	-199
7/3/2007	125
7/5/2007	225
7/6/2007	215
7/9/2007	-11
7/10/2007	567
7/11/2007	4
7/12/2007	101
7/13/2007	120
7/16/2007	207
7/17/2007	378
7/18/2007	102
7/19/2007	442
7/20/2007	-253
7/23/2007	309
7/24/2007	323
7/25/2007	190
7/26/2007	334
7/27/2007	207
7/30/2007	150
7/31/2007	-264
8/1/2007	-43
8/2/2007	49
8/3/2007	-76
8/6/2007	22
8/7/2007	468
8/8/2007	353
8/9/2007	347
8/10/2007	138
8/13/2007	278
8/14/2007	462
8/15/2007	378
8/16/2007	126
8/17/2007	877
8/20/2007	-300
8/21/2007	433
8/22/2007	294
8/23/2007	204
8/24/2007	-261
8/27/2007	65
8/28/2007	-1066
8/29/2007	494
8/30/2007	-22
8/31/2007	239
9/4/2007	-253
9/5/2007	347
9/6/2007	453
9/7/2007	71
9/10/2007	-396
9/11/2007	516
9/12/2007	300
9/13/2007	-13
9/14/2007	425
9/17/2007	291
9/18/2007	-2539
9/19/2007	204
9/20/2007	-911
9/21/2007	1
9/24/2007	260
9/25/2007	652
9/26/2007	-36
9/27/2007	315
9/28/2007	107
10/1/2007	381
10/2/2007	-265
10/3/2007	-240
10/4/2007	189
10/5/2007	2
10/8/2007	142
10/9/2007	52
10/10/2007	90
10/11/2007	268
10/12/2007	-24
10/15/2007	46
10/16/2007	121
10/17/2007	-80
10/18/2007	292
10/19/2007	-661
10/22/2007	63
10/23/2007	-269
10/24/2007	-937
10/25/2007	-91
10/26/2007	163
10/29/2007	-46
10/30/2007	174
10/31/2007	257
11/1/2007	-167
11/2/2007	78
11/5/2007	346
11/6/2007	324
11/7/2007	-1420
11/8/2007	-595
11/9/2007	-392
11/12/2007	-494
11/13/2007	-616
11/14/2007	-170
11/15/2007	-908
11/16/2007	84
11/19/2007	72
11/20/2007	-322
11/21/2007	370
11/23/2007	381
11/26/2007	591
11/27/2007	-119
11/28/2007	70
11/29/2007	245
11/30/2007	-673
12/3/2007	289
12/4/2007	556
12/5/2007	-563
12/6/2007	300
12/7/2007	275
12/10/2007	369
12/11/2007	-154
12/12/2007	976
12/13/2007	575
12/14/2007	463
12/17/2007	335
12/18/2007	202
12/19/2007	498
12/20/2007	-162
12/21/2007	-428
12/24/2007	0
12/27/2007	584
12/28/2007	-26
12/31/2007	0
1/2/2008	-66
1/3/2008	312
1/4/2008	-480
1/7/2008	91
1/8/2008	813
1/9/2008	709
1/10/2008	427
1/11/2008	149
1/14/2008	339
1/15/2008	238
1/16/2008	632
1/17/2008	831
1/18/2008	929
1/22/2008	1320
1/23/2008	1636
1/24/2008	440
1/25/2008	507
1/28/2008	389
1/29/2008	519
1/30/2008	354
1/31/2008	413
2/1/2008	820
2/4/2008	613
2/5/2008	644
2/6/2008	448
2/7/2008	96
2/8/2008	417
2/11/2008	-528
2/12/2008	703
2/13/2008	493
2/14/2008	408
2/15/2008	-678
2/18/2008	169
2/19/2008	-182
2/20/2008	-521
2/21/2008	-16
2/22/2008	260
2/25/2008	614
2/26/2008	537
2/27/2008	893
2/28/2008	-217
2/29/2008	191
3/3/2008	104
3/4/2008	-367
3/5/2008	394
3/6/2008	-155
3/7/2008	500
3/10/2008	702
3/11/2008	183
3/12/2008	459
3/13/2008	-295
3/14/2008	1141
3/17/2008	-378
3/18/2008	368
3/19/2008	246
3/20/2008	100
3/25/2008	-28
3/26/2008	-70
3/27/2008	-241
3/28/2008	189
3/31/2008	180
4/1/2008	477
4/2/2008	104
4/3/2008	-92
4/4/2008	-35
4/7/2008	339
4/8/2008	317
4/9/2008	-50
4/10/2008	296
4/11/2008	117
4/14/2008	139
4/15/2008	-1
4/16/2008	246
4/17/2008	497
4/18/2008	-45
4/21/2008	362
4/22/2008	22
4/23/2008	150
4/24/2008	-120
4/25/2008	173
4/28/2008	341
4/29/2008	172
4/30/2008	-484
5/2/2008	165
5/5/2008	388
5/6/2008	-330
5/7/2008	2
5/8/2008	398
5/9/2008	400
5/12/2008	98
5/13/2008	-99
5/14/2008	387
5/15/2008	116
5/16/2008	-384
5/19/2008	251
5/20/2008	-3479
5/21/2008	508
5/22/2008	411
5/23/2008	389
5/26/2008	204
5/27/2008	-908
5/28/2008	364
5/29/2008	62
5/30/2008	92
6/2/2008	-511
6/3/2008	300
6/4/2008	-80
6/5/2008	-188
6/6/2008	711
6/9/2008	49
6/10/2008	-1335
6/11/2008	252
6/12/2008	196
6/13/2008	128
6/16/2008	434
6/17/2008	59
6/18/2008	201
6/19/2008	203
6/20/2008	303
6/23/2008	152
6/24/2008	380
6/25/2008	-122
6/26/2008	656
6/27/2008	551
6/30/2008	113
7/1/2008	744
7/2/2008	386
7/3/2008	494
7/4/2008	258
7/7/2008	509
7/8/2008	330
7/9/2008	-47
7/10/2008	983
7/11/2008	490
7/14/2008	701
7/15/2008	366
7/16/2008	321
7/17/2008	313
7/18/2008	329
7/21/2008	82
7/22/2008	381
7/23/2008	291
7/24/2008	133
7/25/2008	571
7/28/2008	-140
7/29/2008	255
7/30/2008	321
7/31/2008	-3
8/1/2008	641
8/4/2008	450
8/5/2008	191
8/6/2008	328
8/7/2008	62
8/8/2008	19
8/11/2008	86
8/12/2008	397
8/13/2008	178
8/14/2008	-76
8/15/2008	126
8/18/2008	368
8/19/2008	388
8/20/2008	156
8/21/2008	91
8/22/2008	415
8/25/2008	-544
8/26/2008	-785
8/27/2008	-19
8/28/2008	120
8/29/2008	-453
9/1/2008	221
9/2/2008	378
9/3/2008	185
9/4/2008	260
9/5/2008	538
9/8/2008	173
9/9/2008	126
9/10/2008	488
9/11/2008	101
9/12/2008	353
9/15/2008	757
9/16/2008	1542
9/17/2008	445
9/18/2008	-648
9/19/2008	753
9/22/2008	448
9/23/2008	594
9/24/2008	565
9/25/2008	129
9/26/2008	406
9/29/2008	1643
9/30/2008	-2413
10/1/2008	491
10/2/2008	120
10/3/2008	1032
10/6/2008	-465
10/7/2008	759
10/8/2008	2160
10/9/2008	1559
10/10/2008	-7
10/13/2008	1841
10/14/2008	753
10/15/2008	1017
10/16/2008	432
10/17/2008	-335
10/20/2008	354
10/21/2008	-272
10/22/2008	-166
10/23/2008	-189
10/24/2008	-3117
10/27/2008	2233
10/28/2008	-486
10/29/2008	1123
10/30/2008	268
10/31/2008	-243
11/3/2008	152
11/4/2008	-422
11/5/2008	0
11/6/2008	-726
11/7/2008	764
11/10/2008	254
11/11/2008	-991
11/12/2008	-2547
11/13/2008	1120
11/14/2008	1078
11/17/2008	387
11/18/2008	773
11/19/2008	166
11/20/2008	683
11/21/2008	1013
11/24/2008	-805
11/25/2008	699
11/26/2008	244
11/27/2008	421
11/28/2008	833
12/1/2008	-1611
12/2/2008	976
12/3/2008	-645
12/4/2008	857
12/5/2008	510
12/8/2008	864
12/9/2008	399
12/10/2008	585
12/11/2008	416
12/12/2008	781
12/15/2008	965
12/16/2008	857
12/18/2008	-210
12/19/2008	939
12/22/2008	184
12/23/2008	-354
12/24/2008	0
12/29/2008	-932
12/30/2008	-1
12/31/2008	0
1/2/2009	426
1/5/2009	550
1/6/2009	913
1/7/2009	639
1/8/2009	92
1/9/2009	-30
1/12/2009	-256
1/13/2009	149
1/14/2009	199
1/15/2009	307
1/16/2009	-445
1/19/2009	421
1/20/2009	606
1/21/2009	-375
1/22/2009	-142
1/23/2009	107
1/26/2009	925
1/27/2009	426
1/28/2009	210
1/29/2009	401
1/30/2009	476
2/2/2009	491
2/3/2009	356
2/4/2009	233
2/5/2009	-723
2/6/2009	-969
2/9/2009	-76
2/10/2009	-7
2/11/2009	568
2/12/2009	424
2/13/2009	393
2/16/2009	164
2/17/2009	72
2/18/2009	517
2/19/2009	465
2/20/2009	482
2/23/2009	-798
2/24/2009	227
2/25/2009	227
2/26/2009	545
2/27/2009	483
3/2/2009	106
3/3/2009	14
3/4/2009	187
3/5/2009	-70
3/6/2009	98
3/9/2009	15
3/10/2009	-218
3/11/2009	466
3/12/2009	-108
3/13/2009	545
3/16/2009	45
3/17/2009	382
3/18/2009	412
3/19/2009	125
3/20/2009	400
3/23/2009	68
3/24/2009	499
3/25/2009	-329
3/26/2009	437
3/27/2009	-349
3/30/2009	209
3/31/2009	289
4/1/2009	271
4/2/2009	-66
4/3/2009	-737
4/6/2009	222
4/7/2009	352
4/8/2009	-12
4/14/2009	59
4/15/2009	221
4/16/2009	372
4/17/2009	436
4/20/2009	-53
4/22/2009	-221
4/24/2009	-141
4/27/2009	95
4/28/2009	-9
4/29/2009	20