Before revision:  We compare the empirical performanceof our new backtests to existing approaches in terms of their empirical size and power through several different simulation studies. We find that our backtests clearly outperform the existing backtesting procedures in the literature in terms of their size and (size-adjusted) power properties throughout all considered simulation experiments.
After revision:  We compare the empirical performanceof our new backtests to existing approaches and find that our backtests clearly outperform the existing backtesting procedures in the literature in terms of their size and (size-adjusted) power properties throughout all considered simulation experiments.