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metrics module

Other metrics that are not compiled with Numba.

approx_exp_max_sharpe function

approx_exp_max_sharpe(
    mean_sharpe,
    var_sharpe,
    nb_trials
)

Expected Maximum Sharpe Ratio.

deflated_sharpe_ratio function

deflated_sharpe_ratio(
    *,
    est_sharpe,
    var_sharpe,
    nb_trials,
    backtest_horizon,
    skew,
    kurtosis
)

Deflated Sharpe Ratio (DSR).

See Deflated Sharpe Ratio.