Probabilistic Sharpe Ratio

[richai]

Can anyone show with cross validation whether it’s better to optimize for probabilistic sharpe than smart sharpe from @mdo?

Performance Stationarity

Great post Richard, much appreciated! These issues have been on my mind recently as I’ve been playing around with fitting models to feature neutral targets. I’ve been testing out the Sortino ratio as an alternative to Sharpe for doing hyperparameter selection, because it makes sense to me to only penalize downside volatility/variance. Interestingly I’m finding that Sortino does favor different and narrower ranges of hyperparameters than Sharpe. def sortino_ratio(x, target=.02): xt = x - tar…