The probability of seeing a result at least as extreme as yours if the null hypothesis were true. Small means surprising, not necessarily true or profitable.
A p-value of 0.03 says: if the strategy really had no edge, only 3% of random samples would look this good or better. It does not say there is a 97% chance the strategy works, and it says nothing at all about how large the edge is.
The number is only meaningful for a test you decided on before looking. Run twenty variants and pick the best, and a 0.03 means almost nothing, because with twenty independent tries the chance of at least one result under 0.05 is 1 - 0.95^20 = 64%. That is the whole of multiple-testing in one line.
p-values also assume independent, identically distributed observations. Trade returns are neither: they cluster in volatility and overlap in time, which makes naive p-values too small. A permutation-test or block-bootstrap gives a fairer number.
Original diagrams for the ideas on this page. Illustrative, not real market data.
Expectancy: the average trade. Forty trades sorted by outcome: 24 small losses and 16 larger wins. Weighting each side by how often it happens gives the average result per trade, marked here by the dashed line at +$120.
Educational only, not advice. Spotted an error? Post in Site Feedback.