probabilistic-sharpe-ratio

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tschm / jsharpe

Statistical inference for Sharpe ratios: probabilistic Sharpe ratio, minimum track record length, and FDR/FWER corrections for screening many strategies

statistics sharpe-ratio quantitative-finance multiple-testing hypothesis-testing false-discovery-rate backtesting probabilistic-sharpe-ratio

Updated Sep 8, 2026
Python

certurk23 / certurk23.github.io

Star

Verified implementations of VPIN, Hierarchical Risk Parity and the Probabilistic Sharpe Ratio: runnable code, synthetic ground truth, dated verification reports of defects found and fixed. Free.

python reproducible-research quantitative-finance market-microstructure code-verification vpin hierarchical-risk-parity probabilistic-sharpe-ratio

Updated Sep 11, 2026
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