Sharpe Ratio Non-IID Corrections

Generalized Sharpe ratio inference framework for non-Normal, serially correlated returns. Reference implementation of López de Prado, Lipton & Zoonekynd (2026).

Self-Evolving Skill: This skill improves through use. If instructions are wrong, parameters drifted, or a workaround was needed — fix this file immediately, don't defer. Only update for real, reproducible issues.

Quick Start

# Run all 18 validation tests (paper Exhibit 1 + numerical examples)
uv run --python 3.14 --with numpy --with scipy --with numba \
  python plugins/quant-research/skills/sharpe-ratio-non-iid-corrections/references/sharpe_numba.py

Paper Metadata