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SharpeR (version 0.1309)

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

0.1309

License

LGPL-3

Issues

4

Pull Requests

0

Stars

20

Forks

6

Maintainer

Steven E. Pav

Last Published

September 22nd, 2013

Functions in SharpeR (0.1309)

del_sropt

Create an 'del_sropt' object.
is.sropt

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

Power calculations for Sharpe ratio tests
sr_vcov

Compute variance covariance of Sharpe Ratios.
se

Standard error computation
is.sr

Is this in the "sr" class?
inference

Inference on noncentrality parameter of F-like statistic
dsr

The (non-central) Sharpe ratio.
power.sropt_test

Power calculations for optimal Sharpe ratio tests
sropt

Create an 'sropt' object.
sr_equality_test

Paired test for equality of Sharpe ratio
as.sropt

Compute the Sharpe ratio of the Markowitz portfolio.
SharpeR

statistics concerning Sharpe ratio and Markowitz portfolio
sr_test

test for Sharpe ratio
confint.sr

Confidence Interval on (optimal) Signal-Noise Ratio
as.sr

Compute the Sharpe ratio.
dsropt

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

Create an 'sr' object.
sropt_test

test for optimal Sharpe ratio
reannualize

Change the annualization of a Sharpe ratio.
is.del_sropt

Is this in the "del_sropt" class?
print.sr

Print values.
as.del_sropt

Compute the Sharpe ratio of a hedged Markowitz portfolio.