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Deflated Sharpe ratio diagnostic

Source: R/validation-dsr.R
ledgr_dsr.Rd

ledgr_dsr() computes a native Deflated Sharpe Ratio (DSR) diagnostic over a return panel. It is an evidence surface only: it does not select, promote, filter, or change walk-forward identity.

Usage

ledgr_dsr(
  x,
  candidates = NULL,
  effective_trials = NULL,
  distance_threshold = 0.5,
  confidence = 0.95,
  risk_free_return = 0
)

Arguments

x

A ledgr_return_panel object or a ledgr_sweep_results object with retained completed returns.

candidates

Optional character vector of candidate ids to include.

effective_trials

Optional whole-number effective independent trial count. When NULL, ledgr derives it from ledgr_effective_trials().

distance_threshold

Numeric scalar in [0, 2] passed to ledgr_effective_trials() when effective_trials is NULL.

confidence

Numeric scalar in (0, 1) used for the significant status flag.

risk_free_return

Numeric scalar per-period risk-free return to subtract before computing Sharpe.

Value

A ledgr_dsr object with summary and metadata.

See also

vignette("selection-integrity", package = "ledgr") or system.file("doc", "selection-integrity.html", package = "ledgr").

Examples

if (FALSE) { # \dontrun{
dsr <- ledgr_dsr(sweep)
as_tibble(dsr)
} # }