Description Usage Arguments Author(s) References Examples
Computes the deflated sharpe ratio vis-a-vis Extreme Value Theory
1 | dsr(N, T, observed.sharpe, variance.sharpe, skew, kurtosis)
|
N |
The total number of trials (parameters) attempted |
T |
The total number of observations (returns) s |
observed.sharpe |
The observed Sharpe Ratio calculated from 'T' real returns |
variance.sharpe |
The observed variance of the Sharpe Ratios's across 'N' trials |
skew |
The observed skew of the 'T' real returns |
kurtosis |
The observed kurtosis of the 'T' real returns |
Nathan Matare <email: nmatare@chicagobooth.com>
Bailey et al (2015) "The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2460551
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | ## Not run:
M <- replicate(10, rnorm(1000, 0, 1))
trials <- ncol(M) # number of trials (e.g., parameters attempted)
observations <- nrow(M) # number of observations (e.g., returns)
evaluation.function <- sharpe.ratio <-
function(x, rf = 0.02 / 252) mean(x - rf) / sd(x - rf)
result <- dsr(
N=observations,
T=trials,
observed.sharpe=
)
result
## End(Not run)
|
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