sharpe-ratio-non-iid-corrections
Generalized Sharpe ratio inference under non-Normal serially correlated returns. Implements López de Prado, Lipton & Zoonekynd (2026): PSR, MinTRL, DSR, pFDR, oFDR, SFDR with ρ-corrected variance (Eq 2-3). Numba JIT for production speed. Use when computing Sharpe significance, minimum track record, false discovery rates, or deflated Sharpe ratios with autocorrelation correction.
General13 files