SharpeR: Statistical Significance of the Sharpe Ratio

A collection of tools for analyzing significance of trading strategies, based on the Sharpe ratio and overfit of the same.

AuthorSteven E. Pav [aut, cre]
Date of publication2016-03-14 07:54:14
MaintainerSteven E. Pav <shabbychef@gmail.com>
LicenseLGPL-3
Version1.1.0
https://github.com/shabbychef/SharpeR

View on CRAN

Man pages

as.del_sropt: Compute the Sharpe ratio of a hedged Markowitz portfolio.

as.sr: Compute the Sharpe ratio.

as.sropt: Compute the Sharpe ratio of the Markowitz portfolio.

confint: Confidence Interval on (optimal) Signal-Noise Ratio

del_sropt: Create an 'del_sropt' object.

dsr: The (non-central) Sharpe ratio.

dsropt: The (non-central) maximal Sharpe ratio distribution.

inference: Inference on noncentrality parameter of F-like statistic

is.del_sropt: Is this in the "del_sropt" class?

ism_vcov: Compute variance covariance of Inverse 'Unified' Second...

is.sr: Is this in the "sr" class?

is.sropt: Is this in the "sropt" class?

NEWS: News for package 'SharpeR':

pco_sropt: The 'confidence distribution' for maximal Sharpe ratio.

plambdap: The lambda-prime distribution.

power.sropt_test: Power calculations for optimal Sharpe ratio tests

power.sr_test: Power calculations for Sharpe ratio tests

predint: prediction interval for Sharpe ratio

print: Print values.

reannualize: Change the annualization of a Sharpe ratio.

se: Standard error computation

SharpeR: statistics concerning Sharpe ratio and Markowitz portfolio

sm_vcov: Compute variance covariance of 'Unified' Second Moment

sr: Create an 'sr' object.

sr_equality_test: Paired test for equality of Sharpe ratio

sric: Sharpe Ratio Information Coefficient

sropt: Create an 'sropt' object.

sropt_test: test for optimal Sharpe ratio

sr_test: test for Sharpe ratio

sr_unpaired_test: test for equation on unpaired Sharpe ratios

sr_vcov: Compute variance covariance of Sharpe Ratios.

summary: Summarize a Sharpe, or (delta) optimal Sharpe object.

Functions

as.del_sropt Man page
as.del_sropt.default Man page
as.del_sropt.xts Man page
as.sr Man page
as.sr.data.frame Man page
as.sr.default Man page
as.sr.lm Man page
as.sr.matrix Man page
as.sropt Man page
as.sropt.default Man page
as.sropt.xts Man page
as.sr.timeSeries Man page
as.sr.xts Man page
confint.del_sropt Man page
confint.sr Man page
confint.sropt Man page
del_sropt Man page
dsr Man page
dsropt Man page
inference Man page
inference.del_sropt Man page
inference.sropt Man page
is.del_sropt Man page
ism_vcov Man page
is.sr Man page
is.sropt Man page
pco_sropt Man page
plambdap Man page
power.sropt_test Man page
power.sr_test Man page
predint Man page
print.del_sropt Man page
print.sr Man page
print.sropt Man page
psr Man page
psropt Man page
qco_sropt Man page
qlambdap Man page
qsr Man page
qsropt Man page
reannualize Man page
reannualize.sr Man page
reannualize.sropt Man page
rlambdap Man page
rsr Man page
rsropt Man page
se Man page
se.sr Man page
SharpeR-NEWS Man page
SharpeR-package Man page
sm_vcov Man page
sr Man page
sr_equality_test Man page
sric Man page
sropt Man page
sropt_test Man page
sr_test Man page
sr_unpaired_test Man page
sr_vcov Man page
summary Man page
summary.sr Man page
summary.sropt Man page

Files

SharpeR
SharpeR/inst
SharpeR/inst/CITATION
SharpeR/inst/extdata
SharpeR/inst/extdata/haircut_study.rda
SharpeR/inst/extdata/hotelling_power_rule.rda
SharpeR/inst/extdata/skew_study.rda
SharpeR/inst/extdata/ret_data.rda
SharpeR/inst/extdata/autocorr_study.rda
SharpeR/inst/doc
SharpeR/inst/doc/SharpeR.pdf
SharpeR/inst/doc/SharpeRatio.Rnw
SharpeR/inst/doc/SharpeRatio.R
SharpeR/inst/doc/SharpeR.Rnw
SharpeR/inst/doc/SharpeR.R
SharpeR/inst/doc/SharpeRatio.pdf
SharpeR/tests
SharpeR/tests/testthat.R
SharpeR/tests/testthat
SharpeR/tests/testthat/test-distributions.r
SharpeR/tests/testthat/test-unified.r
SharpeR/tests/testthat/test-tests.r
SharpeR/tests/testthat/test-basic.r
SharpeR/tests/testthat/test-estimation.r
SharpeR/NAMESPACE
SharpeR/R
SharpeR/R/estimation.r
SharpeR/R/unified.r
SharpeR/R/utils.r
SharpeR/R/distributions.r
SharpeR/R/SharpeR.r
SharpeR/R/sr.r
SharpeR/R/tests.r
SharpeR/vignettes
SharpeR/vignettes/rauto.bib
SharpeR/vignettes/SharpeR.sty
SharpeR/vignettes/.install_extras
SharpeR/vignettes/warning.png
SharpeR/vignettes/SharpeRatio.Rnw
SharpeR/vignettes/SharpeR.Rnw
SharpeR/vignettes/SharpeR.bib
SharpeR/README.md
SharpeR/MD5
SharpeR/build
SharpeR/build/vignette.rds
SharpeR/DESCRIPTION
SharpeR/man
SharpeR/man/ism_vcov.Rd SharpeR/man/is.sr.Rd SharpeR/man/as.sr.Rd SharpeR/man/plambdap.Rd SharpeR/man/power.sropt_test.Rd SharpeR/man/as.sropt.Rd SharpeR/man/as.del_sropt.Rd SharpeR/man/NEWS.Rd SharpeR/man/sr_test.Rd SharpeR/man/sr.Rd SharpeR/man/predint.Rd SharpeR/man/dsropt.Rd SharpeR/man/SharpeR.Rd SharpeR/man/se.Rd SharpeR/man/confint.Rd SharpeR/man/is.del_sropt.Rd SharpeR/man/is.sropt.Rd SharpeR/man/sric.Rd SharpeR/man/inference.Rd SharpeR/man/sropt_test.Rd SharpeR/man/del_sropt.Rd SharpeR/man/dsr.Rd SharpeR/man/sropt.Rd SharpeR/man/print.Rd SharpeR/man/sr_unpaired_test.Rd SharpeR/man/pco_sropt.Rd SharpeR/man/power.sr_test.Rd SharpeR/man/summary.Rd SharpeR/man/sr_vcov.Rd SharpeR/man/sm_vcov.Rd SharpeR/man/sr_equality_test.Rd SharpeR/man/reannualize.Rd
SharpeR/.Rinstignore

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.