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September 6, 2020 00:28
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As mentioned in this issue： How can I build my confidence that my strategy returns better, I implemented my first version.
This version basically refers to the author's matlab version of the code. I put the original matlab version of the code at https://github.com/weiguang-zz/robust_sharpe_test.
the paper reference: http://www.ledoit.net/jef_2008pdf.pdf
Due to the following reasons， I only implemented the HAC method in the paper.
1 Bootstrap method performance is very poor
2 The bootstrap method relies on automatic calculation of the optimal block size, which is difficult to implement
3 Due to time, the HAC method based on the prewhitened QS kernel has not been implemented either
thank you