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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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Install
install.packages('SharpeR')
Monthly Downloads
425
Version
1.0.0
License
LGPL-3
Issues
4
Pull Requests
0
Stars
17
Forks
8
Repository
https://github.com/shabbychef/SharpeR
Maintainer
Steven E. Pav
Last Published
June 18th, 2015
Functions in SharpeR (1.0.0)
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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