The Def lated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality." The Journal of Portfolio Management, Vol. 40, No. 5 (2014), pp. 94-107.Bailey, D. and M. L´opez de Prado, "The Deflated Sharpe Ratio: Cor- recting for Selection Bias, Backtest ...
3. PROBABILISTIC SHARPE RATIO (PSR) Now that we have derived an expression for the confidence bands of SR, we are ready to aim for the first goal stated in the Introduction: Provide a de-inflated estimate of SR. Given a predefined benchmark4 Sharpe ratio ( ), the observed Sharpe ratio ...