Bootstrapping Backtest Confidence Bands
One equity curve is one sample. A bootstrap confidence interval on a backtest Sharpe is often wide enough to contain zero. Here is how to build and read one.
#sharpe ratio
Filtering by topic #sharpe ratio · clear
Risk-free rate in the Sharpe ratio
The risk-free rate in the Sharpe ratio moves over time. How to match a bill yield to your return frequency, and what one fixed rate costs the answer.
What Is the Sharpe Ratio? Formula and Math
The Sharpe ratio is average excess return divided by the standard deviation of excess returns. Get the formula right, then see where the number misleads.