Deflated Sharpe ratio: Adjusting for multiple testing (Excel)
Автор: NEDL
Загружено: 2022-10-18
Просмотров: 2060
Описание:
It is very common in portfolio management and algorithmic trading to test a wide range of strategies before settling on the best-performing one. That is important for performance evaluation as it would mean the Sharpe ratio is inflated due to multiple testing. The deflated Sharpe ratio (DSR) is the go-to technique to take into account both the non-normal return distribution and multiple testing concerns when investigating various strategies. Today we are implementing the deflated Sharpe ratio calculation in Excel and discussing the concepts behind it.
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