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What is better? PSR or DSR? #3

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kayuksel opened this issue Jan 21, 2020 · 1 comment
Open

What is better? PSR or DSR? #3

kayuksel opened this issue Jan 21, 2020 · 1 comment

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@kayuksel
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What is a better measure PSR or DSR? I know that DSR is an extension but QuantConnect adopted PSR as their main metric. Also, your calculation seemed to me slightly different than theirs. Can you please check? https://www.quantconnect.com/forum/discussion/6483/probabilistic-sharpe-ratio/p1
@esvhd
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esvhd commented Mar 10, 2020

hi - been busy lately, haven't had a chance to look into this, but will try when I can.

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@esvhd @kayuksel