https://rollbrains.com/tags/deflated-sharpe-ratio/ Recent content in Deflated-Sharpe-Ratio on rollbrains Hugo en Tue, 09 Jun 2026 00:00:00 +0000 https://rollbrains.com/quant/deflated-sharpe-ratio/ Tue, 09 Jun 2026 00:00:00 +0000 https://rollbrains.com/quant/deflated-sharpe-ratio/ A backtest Sharpe of 2.5 can carry a Deflated Sharpe Ratio of just 0.90 — failing the 95% confidence bar — once you correct for how many strategies were tried and how non-Normal the returns are. We walk through the Bailey & López de Prado formula, the worked example, and the code.