Research Review
From-scratch reproductions and at-scale extensions of leading quantitative-finance researchers, every empirical claim gated by the Deflated Sharpe Ratio, across crypto, US equities and forex.
12
Studies reproduced
from scratch, then at scale
42
Instruments
crypto · US equities · FX
1.2M+
Strategy-windows
walk-forward, across the studies
14
Works referenced
López de Prado & foundational
17.1k
Lines of code
the review's codebase
Marcos López de Prado
From-scratch reproductions and at-scale extensions of López de Prado's methods, every empirical claim gated by the Deflated Sharpe Ratio. The through-line: almost nothing clears deflated significance, which is precisely the thesis.
Read the reviewE[max SR] null · best < DSR threshold
Inside the review — twelve studies
E[max SR] null · best < DSR threshold
fat tails → Gaussian · activity clock
corr w/ price level · FFD vs returns
purged + embargoed k-fold
feature signal < cost + deflation
generalization · bagging ≈ 4.8× boosting
OU mean-reversion · entry / exit bands
HRP dendrogram · block-diagonal corr
confounder fork · backdoor X ← Z → Y
overlapping labels · uniqueness weights
DSR: single-series 0 · x-section 10/10
assembly line · separable roles → disclosure gate
More authors to come.