The null-hypothesis testing as described by Aronson is pretty weak, as it focuses only on the end P&L. I find that focusing on max drawdown for the null-hypothesis testing gives a much more reliable result. But proving a system has an edge on any sample set is no guarantee the system will remain profitable ... a key companion tool to any system is a sound gauge of "normal" vs "suspicious" vs "plain-wrong" current drawdown - so that a trader can decide when to pull the plug using objective criterias. BTW, this is not only drawdown $$$, it should also address drawdown duration (# of trades)