From this task: https://roadmap.strategyquant.com/tasks/sq4_1917
It would also be very useful if we could time-slice each of those markets into say 5 or 10 equal times periods. We could then say: Passes x% of time-slices in a market, for x number of markets. Or simply say of all time-slices across all markets, X% of the time slices must pass.
By using time-slices you can derive greater statistical significance from the same number of markets. For example, performing this test on 3 markets, gives 3 results. But performing this test on 3 markets, each time-sliced into 5 equal times periods, you now have 15 tests and you can filter strategies that pass say 10 of these 15 tests. This also helps to avoid book end profits that can give false-positives (pasess) when looking at just 3 markets and their overall result.
Of course the number of time-slices per market should be user defined - this will depend on the number of trades, and how many you get per time-slice, sothe user should be able to determine the number of slices.