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Has anyone seen this paper on "The Deflated Sharp Ratio"?

I'm not an experienced trader, so apologies if this is old-hat. I just stumbled across this today:
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

The author also gave a presentation on this, with the slides available here:
Deflating The Sharpe Ratio

I'm still digesting this, but it seems like it makes sense. I'd be interested your opinions and reactions.
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Hey @Jonathan!

Thanks for sharing this! Sadly I don't have a subscription, so I couldn't read the paper, but I was able to review the slides.

I think the author has some seriously good points about over fitting. I also think the deflated sharpe ratio may turn into a great metric when we finally launch the algorithm parameter optimization feature.
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Interesting. I don't have a subscription either, but the PDF opened for me.

Is there a Lean branch with the parameter optimization work?
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We haven't formally begun the parameter optimization work, but we have begun to sketch out what we expect it to look like. If you're interested in contributing you can start a discuss on gitter.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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