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sharpe test supported

Open weiguang-zz opened this issue 4 years ago • 0 comments

As mentioned in this issue: How can I build my confidence that my strategy returns better, I implemented my first version.

This version basically refers to the author's matlab version of the code. I put the original matlab version of the code at https://github.com/weiguang-zz/robust_sharpe_test. the paper reference: http://www.ledoit.net/jef_2008pdf.pdf

Due to the following reasons, I only implemented the HAC method in the paper. 1 Bootstrap method performance is very poor 2 The bootstrap method relies on automatic calculation of the optimal block size, which is difficult to implement 3 Due to time, the HAC method based on the prewhitened QS kernel has not been implemented either

thank you

weiguang-zz avatar Sep 05 '20 16:09 weiguang-zz