qbx-research
Copyright 2026 The qbx-research Authors.

This product includes software developed at Bai Capital, extracted and
generalised from the QBX research platform's parameter-sweep and selection-
metrics modules.

The Deflated Sharpe Ratio, Probabilistic Sharpe Ratio, and Probability of
Backtest Overfitting (CSCV) implementations follow the methods of:

  David H. Bailey and Marcos López de Prado, "The Deflated Sharpe Ratio:
  Correcting for Selection Bias, Backtest Overfitting, and Non-Normality,"
  Journal of Portfolio Management, 40(5), 2014.

  David H. Bailey, Jonathan Borwein, Marcos López de Prado, and Qiji Jim Zhu,
  "The Probability of Backtest Overfitting," Journal of Computational Finance,
  20(4), 2017.

The inverse normal CDF uses Peter J. Acklam's rational approximation.
