Probabilistic Sharpe ratio

A correction (Bailey & López de Prado) that gives the confidence a single Sharpe estimate’s true value exceeds a benchmark, adjusting for return skew, kurtosis, and sample size. It fixes one number for non-normality and small samples but does not address multiple testing across many trials.

First used in Lesson 2.8 · Overfitting statistics and pre-registration — the lesson that makes this term real.