Okay, I suppose I could actually try to answer your questions instead of
just plugging my package =)

1) Instead of random trades in the real data, the typical test is to
repeatedly construct random data and see what the strategy would do
2) I think this distribution would be the same as all k-period returns
(assuming 5 minutes between trade n and trade n+k).  I'm not sure this would
be helpful
3) Since you have to compare your signal's performance against something,
comparing to 0 is one approach.  Another is to compare to being long all
day.

Good luck!
-David

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