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).