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SharpeR: Statistical Significance of the Sharpe Ratio
A collection of tools for analyzing significance of assets, funds, and trading strategies, based on the Sharpe ratio and overfit of the same. Provides density, distribution, quantile and random generation of the Sharpe ratio distribution based on normal returns, as well as the optimal Sharpe ratio over multiple assets. Computes confidence intervals on the Sharpe and provides a test of equality of Sharpe ratios based on the Delta method. The statistical foundations of the Sharpe can be found in the author's Short Sharpe Course <doi:10.2139/ssrn.3036276>.
Getting started
Browse package contents
Package details |
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| Author | Steven E. Pav [aut, cre] (<https://orcid.org/0000-0002-4197-6195>) |
| Maintainer | Steven E. Pav <shabbychef@gmail.com> |
| License | LGPL-3 |
| Version | 1.4.0 |
| URL | https://github.com/shabbychef/SharpeR |
| Package repository | View on CRAN |
| Installation |
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