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SharpeR (version 1.0.0)

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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Version

Install

install.packages('SharpeR')

Monthly Downloads

442

Version

1.0.0

License

LGPL-3

Issues

4

Pull Requests

0

Stars

20

Forks

6

Maintainer

Steven E. Pav

Last Published

June 18th, 2015

Functions in SharpeR (1.0.0)

plambdap

The lambda-prime distribution.
sr

Create an 'sr' object.
sr_test

test for Sharpe ratio
del_sropt

Create an 'del_sropt' object.
sropt_test

test for optimal Sharpe ratio
predint

prediction interval for Sharpe ratio
sropt

Create an 'sropt' object.
confint.sr

Confidence Interval on (optimal) Signal-Noise Ratio
ism_vcov

Compute variance covariance of Inverse 'Unified' Second Moment
power.sr_test

Power calculations for Sharpe ratio tests
dsropt

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

Compute variance covariance of 'Unified' Second Moment
dsr

The (non-central) Sharpe ratio.
is.del_sropt

Is this in the "del_sropt" class?
se

Standard error computation
reannualize

Change the annualization of a Sharpe ratio.
as.sr

Compute the Sharpe ratio.
SharpeR

statistics concerning Sharpe ratio and Markowitz portfolio
is.sropt

Is this in the "sropt" class?
as.sropt

Compute the Sharpe ratio of the Markowitz portfolio.
pco_sropt

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

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

Compute the Sharpe ratio of a hedged Markowitz portfolio.
inference

Inference on noncentrality parameter of F-like statistic
sr_vcov

Compute variance covariance of Sharpe Ratios.
sr_unpaired_test

test for equation on unpaired Sharpe ratios
print.sr

Print values.
sr_equality_test

Paired test for equality of Sharpe ratio
power.sropt_test

Power calculations for optimal Sharpe ratio tests