Module 3 · Lesson 9 · 10 min

Deflated Sharpe and PBO

What you'll be able to do

  • Count the trials in a study, including the ones that are easy to forget.
  • Calculate the deflated Sharpe ratio from a winner's Sharpe, the number of trials and the shape of its returns.
  • Explain how PBO is measured with combinatorially symmetric cross-validation (CSCV), and how DSR differs from the false-discovery control used on pairs.

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