AINewsnow

Out of how many? Multiple testing and the deflated Sharpe ratio

Flip a fair coin 10 times. Getting 8 heads is unusual, about a 5% chance. Now get 100 people to do it. A few of them will hit 8 heads, and none of them has a special coin. Backtesting works the same way. Each feature set, model, lookback window and threshold you try is another person flipping coins…

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  1. 2026-11-01 11:25 · DEV Community — Machine Learning
    Out of how many? Multiple testing and the deflated Sharpe ratio

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