Programs for

Campbell R. Harvey and Yan Liu, "Backtesting", Journal of Portfolio Management

There are three Matlab m.files in the folder.

1. Haircut_SR.m provides Haircut Sharpe Ratios.
2. Profit_Hurdle.m provides multiple testing adjusted return hurdles.
3. sample_random_multests.m generates simulated empirical p-value distributions that are inputs for Haircut_SR and Profit_Hurdle.

For examples of using this package to create Haircut Sharpe Ratios and return hurdles, see the Programs section of Harvey and Liu (2015).