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Compute probabilistic Sharpe ratio on excess returns (#9583)
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* Use risk-free rate in probabilistic Sharpe ratio

* Extend risk free rate to live report PSR and fix probabilistic sharpe ratio tests

* Update regression statistics

* Update test regression statistics

* Add test asserting Sharpe ratio and PSR consistency

* Use excess returns for live report Sharpe and PSR

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Co-authored-by: Kevin-Li-2025 <2242139@qq.com>
This commit is contained in:
JosueNina
2026-07-06 14:24:52 -05:00
committed by GitHub
parent d26ec37cd5
commit 33ff836857
268 changed files with 356 additions and 277 deletions
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Algorithm.CSharp/DynamicSecurityDataRegressionAlgorithm.cs
+1 -1
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@@ -126,7 +126,7 @@ namespace QuantConnect.Algorithm.CSharp
{"Net Profit", "-0.118%"},
{"Sharpe Ratio", "-2.151"},
{"Sortino Ratio", "-1.743"},
{"Probabilistic Sharpe Ratio", "30.061%"},
{"Probabilistic Sharpe Ratio", "27.257%"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},