├── .gitignore ├── .travis.yml ├── README.md ├── data └── ETFs_returns_2019-2020.csv ├── notebooks ├── Deflated Sharpe Ratio Example.ipynb ├── Generate synthetic scenarios.ipynb └── Probabilistic Sharpe Ratio Example.ipynb ├── requirements.txt ├── src ├── Deflated Sharpe Ratio Example.py ├── Probabilistic Sharpe Ratio Example.py ├── __init__.py ├── sharpe_ratio_stats.py └── utils.py └── tests ├── __init__.py ├── returns_for_tests.csv └── test_sharpe_ratio_stats.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/.gitignore -------------------------------------------------------------------------------- /.travis.yml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/.travis.yml -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/README.md -------------------------------------------------------------------------------- /data/ETFs_returns_2019-2020.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/data/ETFs_returns_2019-2020.csv -------------------------------------------------------------------------------- /notebooks/Deflated Sharpe Ratio Example.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/notebooks/Deflated Sharpe Ratio Example.ipynb -------------------------------------------------------------------------------- /notebooks/Generate synthetic scenarios.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/notebooks/Generate synthetic scenarios.ipynb -------------------------------------------------------------------------------- /notebooks/Probabilistic Sharpe Ratio Example.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/notebooks/Probabilistic Sharpe Ratio Example.ipynb -------------------------------------------------------------------------------- /requirements.txt: -------------------------------------------------------------------------------- 1 | scipy 2 | numpy 3 | pandas 4 | seaborn -------------------------------------------------------------------------------- /src/Deflated Sharpe Ratio Example.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/src/Deflated Sharpe Ratio Example.py -------------------------------------------------------------------------------- /src/Probabilistic Sharpe Ratio Example.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/src/Probabilistic Sharpe Ratio Example.py -------------------------------------------------------------------------------- /src/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /src/sharpe_ratio_stats.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/src/sharpe_ratio_stats.py -------------------------------------------------------------------------------- /src/utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/src/utils.py -------------------------------------------------------------------------------- /tests/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /tests/returns_for_tests.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/tests/returns_for_tests.csv -------------------------------------------------------------------------------- /tests/test_sharpe_ratio_stats.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/rubenbriones/Probabilistic-Sharpe-Ratio/HEAD/tests/test_sharpe_ratio_stats.py --------------------------------------------------------------------------------