Chapter 16: Strategy Simulation
Sharpe Ratio Under Autocorrelation and Non-Normal Returns advanced
How serial dependence and asymmetric tails change Sharpe annualization, sampling uncertainty, and the strength of the evidence in a backtest.
How serial dependence and asymmetric tails change Sharpe annualization, sampling uncertainty, and the strength of the evidence in a backtest.
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References
The Statistics of Sharpe Ratios
Andrew W. Lo
(2002)
— Financial Analysts Journal
The Sharpe Ratio Efficient Frontier
David H. Bailey, Marcos Lopez de Prado
(2012)
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
David H. Bailey, Marcos Lopez de Prado
(2014)
How to Use the Sharpe Ratio
Marcos Lopez de Prado, Alexander Lipton, Vincent Zoonekynd
(2025)