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1 vote

Why discount results by 50%?

Harvey and Liu distinguish between trading strategies with theoretical backing versus those which are suggested merely by empirical analysis. The 50% discount of Sharpe ratio is completely arbitrary. ...
kurtosis's user avatar
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2 votes

Why discount results by 50%?

Previously, I thought this was an excellent question and very practical/applicable to performance analytics. After some related readings, I feel that I am (somewhat) ready to provide a (tiny) insight ...
KaiSqDist's user avatar
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