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ARCH models in Python
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Can someone post an example for calculate the difference of Sharpe Ratio between two return series #401

Closed weiguang-zz closed 3 years ago

weiguang-zz commented 4 years ago

As described by this paper. We can do a Hypothesis test on the difference of sharpe ratio between two return series using the bootstrap method. however, It's too hard for me to implement the paper. I have found a very good R library. But can't find a python package.

I found a very good example on how to estimate the variance of the Sharpe Ratio and how to construct confidence intervals for the Sharpe Ratio at this, so I think this library should be a good tool to do this work.

Thank you very much.

bashtage commented 3 years ago

This is pretty old so I am going to close it. stats stackoverflow is probably a better place for these types of questions.