Probabilistic Sharpe Ratio Research Post

[jaredbroad]

Behavior

This widget should link to documentation, but instead the only place to link to has been a forum post for years. We should have a page on PSR as its a significant and very quanty statistic few understand.

https://www.quantconnect.com/forum/discussion/6483/probabilistic-sharpe-ratio/p1

We can transfer much of Jack's notebook to seed the page of documentation.

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues

[jaredbroad]

Infact the whole notebook might be a good research post for the community forum and we could even link there instead of a hidden notebook.

[jaredbroad]

Please translate the Jack work to a new research post on PSR in LEAN and QC

[DerekMelchin]

https://www.quantconnect.com/research/17112/probabalistic-sharpe-ratio/p1

This research is under review. To publish this research attract three community upvotes.