Sharpe ratio

2 stories tagged Sharpe ratio on Learning Fanatic.

Lesson 4.2: Performance metrics: Sharpe, drawdown and Sortino Learn to measure a strategy: Sharpe, Sortino and Calmar ratios, drawdown, how long a track record must be, and how crash risk hides inside the Sharpe ratio.
Lesson 3.4: Avoiding overfitting: multiple testing and data snooping Learn why the best of many backtests is usually luck: overfitting, multiple testing, the best Sharpe ratio chance gives, parameter plateaus and a clean holdout.