SharpeRatio.deflated: Calculate a Deflated Sharpe Ratio using number of trials and...

In marsanul/quantstrat: Quantitative Strategy Model Framework

Description

Per Bailey and Lopex de Prado (2014), construct a Deflated Sharpe Ratio and associated p-value based on an observed Sharpe ratio and information drawn from a series of trials (e.g. parameter optimization or other strategies tried before the candidate strategy)

Usage

deflatedSharpe(portfolios, ..., strategy = NULL, trials = NULL,
  audit = NULL, env = .GlobalEnv)

.deflatedSharpe(sharpe, nTrials, varTrials, skew, kurt, numPeriods,
  periodsInYear = 252)

Arguments

portfolios	string name of portfolio, or optionally a vector of portfolios, see DETAILS
...	any other passtrhrough parameters
strategy	optional strategy specification that would contain more information on the process, default NULL
trials	optional number of trials,default NULL
audit	optional audit environment containing the results of parameter optimization or walk forward, default NULL
env	optional environment to find market data in, if required.
sharpe	candidate (annualized) Sharpe Ratio
nTrials	numeric number or trials
varTrials	variance of Sharpe ratios of the trials
skew	skewness of the candidate
kurt	non-excess kurtosis
numPeriods	total periods in the backtest
periodsInYear	number of periods in a year, default 252 (daily)

Value

a data.frame containing:

• original observed Sharpe ratio

• deflated Sharpe ratio

• p-value of the deflated Sharpe ratio

• number of trials used for adjustment

this object may change in the future, and may be classed so that we can include more information

Author(s)

Brian G. Peterson

Ilya Kipnis, Brian G. Peterson

References

Bailey, David H, and Marcos Lopez de Prado. 2014. "The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality." Journal of Portfolio Management 40 (5): 94-107. http://www.davidhbailey.com/dhbpapers/deflated-sharpe.pdf

https://quantstrattrader.wordpress.com/2015/09/24/

See Also

SharpeRatio.haircut

marsanul/quantstrat documentation built on Aug. 10, 2020, 12:45 a.m.