Research Review
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.
The review, in numbers
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
Featured author · 12 studies
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.