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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:
I'm still digesting this, but it seems like it makes sense. I'd be interested your opinions and reactions.
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Michael Handschuh
Jonathan Evans
Michael Handschuh
Jonathan Evans
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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