In DH Bailey's paper "The probability of backtest overfitting", they used sharpe ratio as their default objective function.
However, in fin_crypto library, objective function was set up as objective=lambda r: r.mean().
Just want to clarify, needn't the default of objective function be set as objective=lambda r: sharpe_ratio(r)?
In DH Bailey's paper "The probability of backtest overfitting", they used sharpe ratio as their default objective function. However, in
fin_crypto
library, objective function was set up asobjective=lambda r: r.mean()
. Just want to clarify, needn't the default of objective function be set asobjective=lambda r: sharpe_ratio(r)
?