SharpeR: Statistical Significance of the Sharpe Ratio
Version 1.2.0

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.

Package details

AuthorSteven E. Pav [aut, cre] (<>)
Date of publication2018-10-07 21:00:13 UTC
MaintainerSteven E. Pav <[email protected]>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the SharpeR package in your browser

Any scripts or data that you put into this service are public.

SharpeR documentation built on Oct. 8, 2018, 1:05 a.m.