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enjine-com / mcos

Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
MIT License
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Create the Sharpe Ratio Error Estimator #10

Closed moneygeek closed 4 years ago

moneygeek commented 4 years ago

Make it a child of the ErrorEstimator class.

Mentioned in section 4.5 (iii) in the paper. See https://towardsdatascience.com/calculating-sharpe-ratio-with-python-755dcb346805 as an example implementation of the Sharpe ratio calculation.

kastkeepitjumpinlikekangaroos commented 4 years ago

@moneygeek in section 4.5 (iii) of the paper there's an equation for the the mean difference in Sharpe ratio, it's the mean difference in expected outcomes divided by the square root of the mean difference in variance. Is this how we want to calculate the mean difference in Sharpe ratio, or is there something specific in the article you linked that's missing from the paper?

moneygeek commented 4 years ago

Yes, we want 4.5 (iii)