Reporting one number for expected return hides everything that matters. Reporting an interval makes the reader see how thin the evidence is, which is exactly why most strategy write-ups avoid it.
The common construction is estimate +/- 1.96 standard errors, valid when the sampling distribution is roughly normal. For skewed or fat-tailed trade returns the bootstrap gives a better interval because it makes no shape assumption: resample the trades 10,000 times, compute the statistic each time, and read off the 2.5th and 97.5th percentiles.
Interpretation trap: a 95% interval does not mean 95% probability that the true value is inside this particular interval. It means the procedure captures the truth 95% of the time. In practice the distinction rarely changes a trading decision, but it does stop people writing nonsense.
Related: standard-error, bootstrap, p-value, probabilistic-sharpe-ratio