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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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Version

Install

install.packages('SharpeR')

Monthly Downloads

442

Version

0.1306

License

LGPL-3

Issues

4

Pull Requests

0

Stars

20

Forks

6

Maintainer

Steven E. Pav

Last Published

May 21st, 2013

Functions in SharpeR (0.1306)

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