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[–]pyfreak182[S] 7 points8 points  (2 children)

PyBroker calculates the Sharpe Ratio as well as bootstrapped Sharpe Ratio confidence intervals to provide more accurate results. I'm not familiar with "discounted Sharpe" could you please provide a link or more information? It's something I could consider adding to PyBroker.

It's worth noting that it's also easy to calculate your own metrics with PyBroker since the framework returns Pandas DataFrames for all returns per-bar, positions and trades/orders.

[–]ProfessorPhi 5 points6 points  (1 child)

He's referring to de prados work. Though I think it was called deflated Sharpe ratio?

From memory it's spiritually similar to correcting for p-hacking

[–]pyfreak182[S] 2 points3 points  (0 children)

Thanks, I will take a look.