Thanks.

So if I set size at 5%, collect the data, and run the test, and repeat the whole experiment with fresh data multiple times, should I expect that, if the null hypothesis is true, the test accepts *exactly* %5 of times, or *at most* 5% of times?

Just as markets are anti-inductive, it turns out that markets reverse the "tails come apart" phenomenon found elsewhere. When times are "ordinary", performance in different sectors is largely uncorrelated, but when things go to shit, they go to shit all together, a phenomenon termed "tail dependence".