Deflated Sharpe
Forge API 1
Whether the Sharpe survives having been picked as the best of many.
the probability that the setting's Sharpe is above zero after deflating for the settings tried is at least {dsr_min}
Was this page helpful?
Whether the Sharpe survives having been picked as the best of many.
the probability that the setting's Sharpe is above zero after deflating for the settings tried is at least {dsr_min}
Was this page helpful?