ml-finance-python

python scripts for finance machine learning

git clone https://9o.is/git/ml-finance-python.git

README.md

(697B)

      1 ## The minimum backtest length and the deflated SR
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      3 Lopez de Prado and Bailey (2014) also derive a deflated SR to compute the probability that the SR is statistically significant while controlling for the inflationary effect of multiple testing, non-normal returns, and shorter sample lengths.
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      5  The script [deflated_sharpe_ratio](deflated_sharpe_ratio.py) contains the commented implementation made available by Marcos Lopez de Prado on his website. 
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      7 - [The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality](https://www.davidhbailey.com/dhbpapers/deflated-sharpe.pdf), Bailey, David and Lopez de Prado, Marcos, Journal of Portfolio Management, 2013
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