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SharpeR (version 0.1310)
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
448
Version
0.1310
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
October 29th, 2013
Functions in SharpeR (0.1310)
Search functions
SharpeR
statistics concerning Sharpe ratio and Markowitz portfolio
ism_vcov
Compute variance covariance of Inverse 'Unified' Second Moment
as.sropt
Compute the Sharpe ratio of the Markowitz portfolio.
inference
Inference on noncentrality parameter of F-like statistic
dsropt
The (non-central) maximal Sharpe ratio distribution.
sm_vcov
Compute variance covariance of 'Unified' Second Moment
confint.sr
Confidence Interval on (optimal) Signal-Noise Ratio
sropt
Create an 'sropt' object.
sr_equality_test
Paired test for equality of Sharpe ratio
reannualize
Change the annualization of a Sharpe ratio.
sr_vcov
Compute variance covariance of Sharpe Ratios.
as.sr
Compute the Sharpe ratio.
dsr
The (non-central) Sharpe ratio.
is.sropt
Is this in the "sropt" class?
sr_test
test for Sharpe ratio
power.sr_test
Power calculations for Sharpe ratio tests
del_sropt
Create an 'del_sropt' object.
as.del_sropt
Compute the Sharpe ratio of a hedged Markowitz portfolio.
is.sr
Is this in the "sr" class?
sr
Create an 'sr' object.
sropt_test
test for optimal Sharpe ratio
se
Standard error computation
is.del_sropt
Is this in the "del_sropt" class?
power.sropt_test
Power calculations for optimal Sharpe ratio tests
print.sr
Print values.