Resampling individual trades ignores clustering
An analyst has individual trades spread over days (about trades per day) and wants a confidence interval for the average PnL per trade. He bootstraps by resampling individual trades with replacement and takes the percentile interval. It is very tight. A colleague warns that trades placed on the same day are highly correlated (they share the day's market moves and the same signal state).
Explain why resampling individual trades understates the uncertainty and what resampling scheme is appropriate.
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.