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SharpeR (version 0.1305)

Statistical significance of Sharpe ratio

Description

a collection of tools for analyzing significance of trading strategies, based on the Sharpe ratio and overfit of the same.

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Install

install.packages('SharpeR')

Monthly Downloads

442

Version

0.1305

License

LGPL-3

Issues

4

Pull Requests

0

Stars

20

Forks

6

Maintainer

Steven E. Pav

Last Published

May 11th, 2013

Functions in SharpeR (0.1305)

as.sropt

Compute the Sharpe ratio of the Markowitz portfolio.
dsropt

The (non-central) maximal Sharpe ratio distribution.
inference

Inference on noncentrality parameter of F-like statistic
power.sr_test

Power calculations for Sharpe ratio tests
is.sropt

Is this in the "sropt" class?
power.sropt_test

Power calculations for optimal Sharpe ratio tests
sr_test

test for Sharpe ratio
sr_equality_test

Paired test for equality of Sharpe ratio
se

Standard error computation
reannualize

Change the annualization of a Sharpe ratio.
print.sr

Print values.
sropt

Create an 'sropt' object.
is.sr

Is this in the "sr" class?
dsr

The (non-central) Sharpe ratio.
as.sr

Compute the Sharpe ratio.
confint.sr

Confidence Interval on (optimal) Signal-Noise Ratio
SharpeR

statistics concerning Sharpe ratio and Markowitz portfolio
sr

Create an 'sr' object.
sropt_test

test for optimal Sharpe ratio