Chapter 16: Strategy Simulation
Sharpe Ratio: Definition, Annualization, and Estimation Noise foundational
What the Sharpe ratio measures, when the usual scaling works, and why a backtest Sharpe is noisier than it looks.
What the Sharpe ratio measures, when the usual scaling works, and why a backtest Sharpe is noisier than it looks.
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References
The Statistics of Sharpe Ratios
Andrew W. Lo
(2002)
— Financial Analysts Journal
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
David H. Bailey, Marcos Lopez de Prado
(2014)