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Hello. No, the idea is that the penalty function formalism I use is related to minimization. That's the purpose of the first minus near the sharpe ratio. In order to convert everything in to a maximizazion, I apply a subsequent minus sign to the entire function (including the penalty terms).

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Gianluca Malato
Gianluca Malato

Written by Gianluca Malato

Theoretical Physicists, Data Scientist and fiction author. I teach Data Science, statistics and SQL on YourDataTeacher.com. E-mail: gianluca@gianlucamalato.it

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