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SharpeR (version 0.1306)
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
425
Version
0.1306
License
LGPL-3
Issues
4
Pull Requests
0
Stars
17
Forks
8
Repository
https://github.com/shabbychef/SharpeR
Homepage
http://www.r-project.org
Maintainer
Steven E. Pav
Last Published
May 21st, 2013
Functions in SharpeR (0.1306)
Search functions
confint.sr
Confidence Interval on (optimal) Signal-Noise Ratio
power.sr_test
Power calculations for Sharpe ratio tests
sr_equality_test
Paired test for equality of Sharpe ratio
sr
Create an 'sr' object.
sropt_test
test for optimal Sharpe ratio
is.sr
Is this in the "sr" class?
is.sropt
Is this in the "sropt" class?
dsr
The (non-central) Sharpe ratio.
print.sr
Print values.
sr_test
test for Sharpe ratio
reannualize
Change the annualization of a Sharpe ratio.
as.sropt
Compute the Sharpe ratio of the Markowitz portfolio.
sropt
Create an 'sropt' object.
as.sr
Compute the Sharpe ratio.
se
Standard error computation
inference
Inference on noncentrality parameter of F-like statistic
power.sropt_test
Power calculations for optimal Sharpe ratio tests
dsropt
The (non-central) maximal Sharpe ratio distribution.
SharpeR
statistics concerning Sharpe ratio and Markowitz portfolio