What is Deflated Sharpe Ratio (DSR)?

Deflated Sharpe Ratio (DSR). Developed by David Bailey and Marcos López de Prado. It compares the Sharpe ratio you observed with the highest Sharpe ratio you would expect to see by luck alone, given how many trials you ran, how spread out their results were, how skewed and fat-tailed the returns are, and how long the test period was. Its output is, roughly, the probability that the true Sharpe is above zero after all these corrections. A strategy that looks impressive after one trial can look ordinary after 300.