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jameschch / LeanOptimization

Genetic optimization using LEAN
Apache License 2.0
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Create DeflatedSharpeRatio.cs #23

Closed Jay-Jay-D closed 7 years ago

Jay-Jay-D commented 7 years ago

Implementation from the source paper: The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality.

jameschch commented 7 years ago

Thanks for fixing the formulas: this is outstanding. As discussed there was some amount of restructuring of my original gist to use as fitness. This causes problems with merging your fixes. Will do what I can to save you making too many more commits.