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SharpeR (version 0.1501)

Statistical Significance of the 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

0.1501

License

LGPL-3

Issues

4

Pull Requests

0

Stars

20

Forks

6

Maintainer

Steven E. Pav

Last Published

December 24th, 2014

Functions in SharpeR (0.1501)

as.del_sropt

Compute the Sharpe ratio of a hedged Markowitz portfolio.
dsr

The (non-central) Sharpe ratio.
sr_equality_test

Paired test for equality of Sharpe ratio
as.sropt

Compute the Sharpe ratio of the Markowitz portfolio.
plambdap

The lambda-prime distribution.
power.sropt_test

Power calculations for optimal Sharpe ratio tests
sropt

Create an 'sropt' object.
SharpeR

statistics concerning Sharpe ratio and Markowitz portfolio
confint.sr

Confidence Interval on (optimal) Signal-Noise Ratio
sr_vcov

Compute variance covariance of Sharpe Ratios.
print.sr

Print values.
reannualize

Change the annualization of a Sharpe ratio.
power.sr_test

Power calculations for Sharpe ratio tests
is.sropt

Is this in the "sropt" class?
is.del_sropt

Is this in the "del_sropt" class?
sropt_test

test for optimal Sharpe ratio
del_sropt

Create an 'del_sropt' object.
se

Standard error computation
sr

Create an 'sr' object.
sm_vcov

Compute variance covariance of 'Unified' Second Moment
sr_test

test for Sharpe ratio
inference

Inference on noncentrality parameter of F-like statistic
ism_vcov

Compute variance covariance of Inverse 'Unified' Second Moment
is.sr

Is this in the "sr" class?
dsropt

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

The 'confidence distribution' for maximal Sharpe ratio.
as.sr

Compute the Sharpe ratio.