GitHub / RSv618 / superior-predictive-ability
Python implementation of Hansen's Superior Predictive Ability (SPA) Test for evaluating multiple strategy performances, adjusting for correlation effects and multiple comparisons to identify statistically significant strategies. This version doesn't use bootstrapping and uses a loglog correction.
JSON API: http://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/RSv618%2Fsuperior-predictive-ability
PURL: pkg:github/RSv618/superior-predictive-ability
Stars: 1
Forks: 0
Open issues: 0
License: None
Language: Python
Size: 0 Bytes
Dependencies parsed at: Pending
Created at: 10 months ago
Updated at: 10 months ago
Pushed at: 10 months ago
Last synced at: 10 months ago
Topics: algorithmic-trading, data-science, hansen, loglog, portfolio, python, quantitative-finance, sharpe-ratio, spa, superior-predictive-ability