Quantitative Research Note2025Canonical long-form →

Multiple Testing & the Deflated Sharpe Ratio

Best-of-160 BTC rule: IS Sharpe 1.14 is only 1.24× the pure-noise expectation : DSR = 0.70 (fail).

Quantitative ResearchPublished Sat Sep 20 2025 00:00:00 GMT+0000 (Coordinated Universal Time)

EVAL-FIRST31 GATESNDA-CLEANPUBLIC DATAALPHASIGNAL > NOISEREPRODUCIBLENOTEBOOK-COMMITTEDCITABLEBIBTEX + DOI

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A copy-pasteable BibTeX entry. The canonical long-form with figures, code, and full methodology lives at the URL in the entry. please link there, not here, when citing in a paper or a thread.

@techreport{macion2025quant01deflatedsharpe,
  author       = {Macion, Christian T.},
  title        = {Multiple Testing & the Deflated Sharpe Ratio},
  institution  = {Independent research},
  year         = {2025},
  date         = {2025-09-20},
  note         = {Public-data reproducible. Canonical long-form: https://christianmacion-portfolio.pages.dev/projects/quant/01-deflated-sharpe/},
  url          = {https://christianmacion-portfolio.pages.dev/projects/quant/01-deflated-sharpe/}
}

Canonical surface

The full research note. methodology, code, gates run, and reproduced metrics. lives on the projects index.

  • Canonical URL/projects/quant/01-deflated-sharpe ↗
  • Headline metric(s)
    • 1.14Best-of-160 in-sample Sharpe
    • 0.92Pure-noise expectation
    • 0.70Deflated Sharpe Ratio
  • Tags
    • multiple-testing
    • deflated-sharpe
    • rigor
    • methodology
    • public-data

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