{"repo":"YannickKae/Evaluating-Investment-Strategies","free":true,"listed":false,"github":"https://github.com/YannickKae/Evaluating-Investment-Strategies","clone":"git clone https://github.com/YannickKae/Evaluating-Investment-Strategies.git","description":"This repository contains a collection of functions to evaluate investment strategies regarding multiple testing concerns.","language":"Python","stars":11,"topics":["multiple-testing","quantitative-finance","sharpe-ratio","investment-strategy","matlab","python","r","stata","t-statistic"],"license":"CC0-1.0","category":"trading","readme_excerpt":"Investment Strategy Evaluation Testing multiple investment strategies until you find one with a high Sharpe Ratio inflates the probability of finding something that looks good by pure chance (Type I error). This repository contains functions for evaluating investment strategies considering multiple testing. Adjusted critical $t$-values for $m=100$ and $\\alpha=.05$ Sharpe Ratio and $t$-Statistic Sharpe Ratio [ sharpe ratio ] The Sharpe Ratio measures the average return that exceeds the risk-free rate, relative to the volatility of the return. It is a commonly used metric to understand the risk-adjusted return of an investment. $$ SR = \\frac{\\mu - r f}{\\sigma} $$ - $\\mu$: Mean return - $r f$: Risk-free rate - $\\sigma$: Standard deviation of the return Expected maximum Sharpe Ratio [ expected max sharpe ratio ] When testing $M$ strategies, the expected best Sharpe Ratio $SR {max}$ can be approximated by $$ \\mathbf{E}[SR {max}] \\approx \\mathbf{E}[SR {m}] + \\sqrt{\\mathbf{Var}[SR {m}]} \\left( (1 - \\gamma) \\Phi^{-1} \\left( 1 - \\frac{1}{N} \\right) + \\gamma \\Phi^{-1} \\left( 1 - \\frac{1}{N}e^{-1} \\right) \\right) $$ - $\\Phi$: CDF of the standard normal - $\\gamma$: Euler-Mascheroni constant - $N$: Number of returns - $M$: Number of tests $t$-Statistic [ t statistic ] The $t$-Statistic here refers to the average excess return and is a scaled function of the Sharpe Ratio: $$ t = \\frac{\\mu - r f}{\\sigma} \\times \\sqrt{N} = SR \\times \\sqrt{N} $$ Multiple Testing Adjustments of critical $t$-va","default_branch":null,"files":null,"tree":[],"storefront":"/r/YannickKae","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/YannickKae/Evaluating-Investment-Strategies/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}