getDistExpectedMaxSR: Maximum Sharpe Ratio Monte Carlo Simulator
In barryquinn1/ATI: Algorithmic Trading and Investment

Description Usage Arguments Value References Examples

View source: R/getDistExpectedMaxSR.R

Simulates the distribution of the expected Maximum Sharpe ratio for a set number of trails

1	getDistExpectedMaxSR(nSims, nTrails, meanSR = 0, stdSR = 1)

`nSims`	number of simulations per trail
`nTrails`	a numeric vector of trails starting at 2
`meanSR`	mean value of Sharpe ratio under the null of a false positive strategy
`stdSR`	standard deviation of Sharpe ratio under the null of a false positive strategy

tibble

Bailey, D., J. Borwein, M. López de Prado, and J. Zhu 2014: “Pseudo- mathematics and financial charlatanism: The effects of backtest overfitting on out-of-sample performance.” Notices of the American Mathematical Society, Vol. 61, No. 5, pp. 458–471. Available at http://ssrn.com/abstract=2308659

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sr1<-getDistExpectedMaxSR(nSims=100,nTrails=2:100)
plot(y=sr1$`Max{SR}`,x=sr1$nTrails, col = scales::alpha('red', 0.4), pch=16)
lines(lowess(x=sr1$nTrails,sr1$`Max{SR}`),col="blue")