quantstrat (version 0.16.2)

.profitHurdle: internal implementation of profit hurdle code, see profit.hurdle

Description

internal implementation of profit hurdle code, see profit.hurdle

Usage

.profitHurdle(sm_fre, num_tests, num_obs, alpha_sig, vol_annual, RHO)

Arguments

sm_fre

Sampling frequency; [1,2,3,4,5] = [Daily, Weekly, Monthly, Quarterly, Annual]

num_tests

No. of tests one allows for in multiple tests

num_obs

No. of monthly observations for a strategy

alpha_sig

Significance level (e.g., 5#)

vol_annual

Annual return volatility (e.g., 0.05 or 5#)

RHO

Assumed average correlation, default 0.2