Marcos Lopez de Prado of Guggenheim Partners expands on his thoughts about the deflated Sharpe Ratio as published in his JPM 40th Anniversary issue article.
Correcting For Selection Bias, Backtest Overfitting, And Non-Normality
Correcting For Selection Bias, Backtest Overfitting, And Non-Normality – II Journals
HFA Staff
The post above is drafted by the collaboration of the Hedge Fund Alpha Team.
