|
Deflated Sharpe Ratio
The Deflated Sharpe Ratio (DSR) is a statistical method used to determine whether the Sharpe ratio of an investment strategy is statistically significant, developed in 2014 by Marcos López de Prado at Guggenheim Partners and Cornell University, and David H. Bailey (mathematician), David H. Bailey at Lawrence Berkeley National Laboratory. It corrects for selection bias, data dredging, backtest overfitting, sample length, and non-normality in return distributions, providing a more reliable test of financial performance, especially when many trials are evaluated. The application of the DSR, helps practitioners to detect false investment strategies. DSR offers a more precise and robust adjustment for Multiple comparisons problem, multiple testing compared to traditional methods like the Šidák correction because it explicitly models both the selection bias arising from choosing the best among many trials and the estimation uncertainty inherent in Sharpe ratios. Unlike Šidák, which ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Sharpe Ratio
In finance, the Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) measures the performance of an investment such as a security or portfolio compared to a risk-free asset, after adjusting for its risk. It is defined as the difference between the returns of the investment and the risk-free return, divided by the standard deviation of the investment returns. It represents the additional amount of return that an investor receives per unit of increase in risk. It was named after William F. Sharpe, who developed it in 1966. Definition Since its revision by the original author, William Sharpe, in 1994, the '' ex-ante'' Sharpe ratio is defined as: : S_a = \frac = \frac, where R_a is the asset return, R_b is the risk-free return (such as a U.S. Treasury security). E _a-R_b/math> is the expected value of the excess of the asset return over the benchmark return, and is the standard deviation of the asset excess return. The t-sta ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Correlation Before And After Clustering
In statistics, correlation or dependence is any statistical relationship, whether causal or not, between two random variables or bivariate data. Although in the broadest sense, "correlation" may indicate any type of association, in statistics it usually refers to the degree to which a pair of variables are '' linearly'' related. Familiar examples of dependent phenomena include the correlation between the height of parents and their offspring, and the correlation between the price of a good and the quantity the consumers are willing to purchase, as it is depicted in the demand curve. Correlations are useful because they can indicate a predictive relationship that can be exploited in practice. For example, an electrical utility may produce less power on a mild day based on the correlation between electricity demand and weather. In this example, there is a causal relationship, because extreme weather causes people to use more electricity for heating or cooling. However, in gene ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Financial Ratios
A financial ratio or accounting ratio states the relative magnitude of two selected numerical values taken from an enterprise's financial statements. Often used in accounting, there are many standard ratios used to try to evaluate the overall financial condition of a corporation or other organization. Financial ratios may be used by managers within a firm, by current and potential shareholders (owners) of a firm, and by a firm's creditors. Financial analysts use financial ratios to compare the strengths and weaknesses in various companies. If shares in a company are publicly listed, the market price of the shares is used in certain financial ratios. Ratios can be expressed as a decimal value, such as 0.10, or given as an equivalent percentage value, such as 10%. Some ratios are usually quoted as percentages, especially ratios that are usually or always less than 1, such as earnings yield, while others are usually quoted as decimal numbers, especially ratios that are usually mor ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Selection Bias
Selection bias is the bias introduced by the selection of individuals, groups, or data for analysis in such a way that proper randomization is not achieved, thereby failing to ensure that the sample obtained is representative of the population intended to be analyzed. It is sometimes referred to as the selection effect. The phrase "selection bias" most often refers to the distortion of a statistical analysis, resulting from the method of collecting samples. If the selection bias is not taken into account, then some conclusions of the study may be false. Types of bias Sampling bias Sampling bias is systematic error due to a non-random sample of a population, causing some members of the population to be less likely to be included than others, resulting in a biased sample, defined as a statistical sample of a statistical population, population (or non-human factors) in which all participants are not equally balanced or objectively represented. It is mostly classified as a subtype of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Overfitting
In mathematical modeling, overfitting is "the production of an analysis that corresponds too closely or exactly to a particular set of data, and may therefore fail to fit to additional data or predict future observations reliably". An overfitted model is a mathematical model that contains more parameters than can be justified by the data. In the special case where the model consists of a polynomial function, these parameters represent the degree of a polynomial. The essence of overfitting is to have unknowingly extracted some of the residual variation (i.e., the Statistical noise, noise) as if that variation represented underlying model structure. Underfitting occurs when a mathematical model cannot adequately capture the underlying structure of the data. An under-fitted model is a model where some parameters or terms that would appear in a correctly specified model are missing. Underfitting would occur, for example, when fitting a linear model to nonlinear data. Such a model ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Backtesting
Backtesting is a term used in modeling to refer to testing a predictive model on historical data. Backtesting is a type of retrodiction, and a special type of cross-validation applied to previous time period(s). Financial analysis In the economic and financial field, backtesting seeks to estimate the performance of a strategy or model if it had been employed during a past period. This requires simulating past conditions with sufficient detail, making one limitation of backtesting the need for detailed historical data. A second limitation is the inability to model strategies that would affect historic prices. Finally, backtesting, like other modeling, is limited by potential overfitting. That is, it is often possible to find a strategy that would have worked well in the past, but will not work well in the future. Despite these limitations, backtesting provides information not available when models and strategies are tested on synthetic data. Historically, backtesting was only p ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
True Positive Rate
In medicine and statistics, sensitivity and specificity mathematically describe the accuracy of a test that reports the presence or absence of a medical condition. If individuals who have the condition are considered "positive" and those who do not are considered "negative", then sensitivity is a measure of how well a test can identify true positives and specificity is a measure of how well a test can identify true negatives: * Sensitivity (true positive rate) is the probability of a positive test result, conditioned on the individual truly being positive. * Specificity (true negative rate) is the probability of a negative test result, conditioned on the individual truly being negative. If the true status of the condition cannot be known, sensitivity and specificity can be defined relative to a " gold standard test" which is assumed correct. For all testing, both diagnoses and screening, there is usually a trade-off between sensitivity and specificity, such that higher sensiti ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Machine Learning
Machine learning (ML) is a field of study in artificial intelligence concerned with the development and study of Computational statistics, statistical algorithms that can learn from data and generalise to unseen data, and thus perform Task (computing), tasks without explicit Machine code, instructions. Within a subdiscipline in machine learning, advances in the field of deep learning have allowed Neural network (machine learning), neural networks, a class of statistical algorithms, to surpass many previous machine learning approaches in performance. ML finds application in many fields, including natural language processing, computer vision, speech recognition, email filtering, agriculture, and medicine. The application of ML to business problems is known as predictive analytics. Statistics and mathematical optimisation (mathematical programming) methods comprise the foundations of machine learning. Data mining is a related field of study, focusing on exploratory data analysi ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Plot Cumulative Returns
Plot or Plotting may refer to: Art, media and entertainment * Plot (narrative), the connected story elements of a piece of fiction Music * ''The Plot'' (album), a 1976 album by jazz trumpeter Enrico Rava * The Plot (band), a band formed in 2003 Other * ''Plot'' (film), a 1973 French-Italian film * ''Plotting'' (video game), a 1989 Taito puzzle video game, also called Flipull * ''The Plot'' (video game), a platform game released in 1988 for the Amstrad CPC and Sinclair Spectrum * ''Plotting'' (non-fiction), a 1939 book on writing by Jack Woodford * ''The Plot'' (novel), a 2021 mystery by Jean Hanff Korelitz * The Plot (card game), a Patience-type card game * The Plot (film), a 2024 South Korean crime thriller film Graphics * Plot (graphics), a graphical technique for representing a data set * Plot (radar), a graphic display that shows all collated data from a ship's on-board sensors * Plot plan, a type of drawing which shows existing and proposed conditions for a given ar ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
DSR Bar Plot
DSR may refer to: Science and technology * Dynamic shear rheometer, used for research and development as well as for quality control in the manufacture of a wide range of materials * Doubly special relativity, a proposed modification of Einstein's special relativity theory * Dynamic steering response, a car safety technology * Design science research, a set of analytical techniques and perspectives for performing IS research * Differential stress resistance protects during starvation normal but not cancer cells against high-dose chemotherapy. Computing * Data Set Ready, an RS-232 signal used by a modem to indicate to the computer that it is ready to receive data * Dynamic Source Routing protocol, an on-demand routing protocol for ad hoc networks * Dynamic Super Resolution, a feature of Nvidia's Fermi and newer series of graphics cards * Device Status Report (ANSI), an ANSI X3.64 escape sequence * Data signaling rate, in telecommunication * Direct Server Return, in telecommun ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Cluster Statistics
may refer to: Science and technology Astronomy * Cluster (spacecraft), constellation of four European Space Agency spacecraft * Cluster II (spacecraft), a European Space Agency mission to study the magnetosphere * Asteroid cluster, a small asteroid family * Galaxy cluster, large gravitationally bound groups of galaxies, or groups of groups of galaxies * Supercluster, the largest gravitationally bound objects in the universe, composed of many galaxy clusters * Star cluster ** Globular cluster, a spherical collection of stars whose orbit is either partially or completely in the halo of the parent galaxy ** Open cluster, a spherical collection of stars that orbits a galaxy in the galactic plane Biology and medicine * Cancer cluster, in biomedicine, an occurrence of a greater-than-expected number of cancer cases * Cluster headache, a neurological disease that involves an immense degree of pain * Cluster of differentiation, protocol used for the identification and investigatio ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
FST Monte Carlo Trials
FST may refer to: Arts and entertainment * Finlands Svenska Television, now Yle Fem, the Swedish-language department of the Finnish Broadcasting Company * Florida Studio Theatre, in Sarasota, Florida, United States * Free Southern Theater, in Mississippi, United States Biology * Fixation index (FST), in population genetics * Follistatin, a mammalian glycoprotein (and gene) Education * Franciscan School of Theology, in California, United States * French School of Thessaloniki, in Greece *The interdisciplinary field of food science and technology Government and politics * Fermanagh and South Tyrone (Assembly constituency), in Northern Ireland * Fermanagh and South Tyrone (UK Parliament constituency), in Northern Ireland * Financial Secretary to the Treasury, of the United Kingdom * Foreign Sports Talent Scheme, of Singapore Military * Fire Support Team of the Royal Artillery * Fleet Survey Team of the United States Navy * Forward surgical teams of the United States A ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
