Commit Graph

2 Commits

Author SHA1 Message Date
Adriano b61bbaf13c feat(metrics): Deflated Sharpe Ratio (Bailey & Lopez de Prado)
Aggiunge expected_max_sharpe e deflated_sharpe_ratio per correggere
multiple testing nella valutazione di strategie. Considera skewness,
kurtosis e numero di trial.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-05-09 19:21:35 +02:00
Adriano 2687ce7dd2 feat(metrics): Sharpe + max drawdown + total return
Metriche base per valutazione strategie: Sharpe annualizzato
(default 8760 periodi/anno per dati orari), max drawdown
percentuale dalla curva equity, total return cumulativo.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-05-09 19:18:48 +02:00