In which case you don’t need the digression into Sharpe ratios at all. It just distracts from the main point.
I wrote a long post specifically about adjusting for multiplicity, this is just a follow up to demonstrate that multiplicity is a problem even if you don’t call what you measure “p-values”. I think you read that one, and commented that I shouldn’t use p-values at all. I agreed.
If you do multiple tests and pick the best, any measurement is affected.
You know this, I know this, but a lot of people from investment bankers to social psychologists don’t know that, or at least don’t understand it on a deep level. That’s probably also true of many of my blog readers.
I feel like we’re not really disagreeing. My point was “there are similarities between p-values and Sharpe Ratios, especially in the way they’re affected by multiplicity”. Your point was that they’re not exactly the same thing. OK.
If I may offer more advice, don’t breezily barge into subjects which are more complicated than they look.
Thanks, but I plan to follow the opposite advice. It’s a popular blog, not a textbook, and part of my goal in writing it is to learn stuff. For example, since I wrote the last post I learned a lot about Sharpe Ratios. I also think that the thrust of my post stands regardless of the exact parameters and assumptions for calculating Sharpe Ratios (which is a subject of textbooks).
but a lot of people from investment bankers to social psychologists don’t know that, or at least don’t understand it on a deep level
You’ll excuse me if I find myself a bit sceptical with respect to your opinion about what investment bankers understand on a deep level and what they don’t...
Your point was that they’re not exactly the same thing
Well, actually my point was that they are not the same thing at all and confusing them is a category error. Perhaps I didn’t express my point strongly enough :-P
It’s a popular blog, not a textbook, and part of my goal in writing it is to learn stuff.
Sure, it’s your blog. I just think it would be best not to mislead your readers.
I wrote a long post specifically about adjusting for multiplicity, this is just a follow up to demonstrate that multiplicity is a problem even if you don’t call what you measure “p-values”. I think you read that one, and commented that I shouldn’t use p-values at all. I agreed.
You know this, I know this, but a lot of people from investment bankers to social psychologists don’t know that, or at least don’t understand it on a deep level. That’s probably also true of many of my blog readers.
I feel like we’re not really disagreeing. My point was “there are similarities between p-values and Sharpe Ratios, especially in the way they’re affected by multiplicity”. Your point was that they’re not exactly the same thing. OK.
Thanks, but I plan to follow the opposite advice. It’s a popular blog, not a textbook, and part of my goal in writing it is to learn stuff. For example, since I wrote the last post I learned a lot about Sharpe Ratios. I also think that the thrust of my post stands regardless of the exact parameters and assumptions for calculating Sharpe Ratios (which is a subject of textbooks).
You’ll excuse me if I find myself a bit sceptical with respect to your opinion about what investment bankers understand on a deep level and what they don’t...
Well, actually my point was that they are not the same thing at all and confusing them is a category error. Perhaps I didn’t express my point strongly enough :-P
Sure, it’s your blog. I just think it would be best not to mislead your readers.