SharpeR: Statistical Significance of the Sharpe Ratio
Version 1.1.0

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
URL https://github.com/shabbychef/SharpeR
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("SharpeR")

Getting started

README.md

Popular man pages

ism_vcov: Compute variance covariance of Inverse 'Unified' Second...
is.sropt: Is this in the "sropt" class?
reannualize: Change the annualization of a Sharpe ratio.
SharpeR: statistics concerning Sharpe ratio and Markowitz portfolio
sr_equality_test: Paired test for equality of Sharpe ratio
sric: Sharpe Ratio Information Coefficient
sropt_test: test for optimal Sharpe ratio
See all...

All man pages Function index File listing

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

F_ncp_KRS Source code
F_ncp_MLE_single Source code
F_ncp_unbiased Source code
F_to_T2 Source code
SharpeR-NEWS Man page
SharpeR-package Man page
T2.inference Source code
T2_to_F Source code
T2_to_sropt Source code
T2sropt Source code
annualize Source code
annualize2 Source code
as.del_sropt Man page Source code
as.del_sropt.default Man page Source code
as.del_sropt.xts Man page Source code
as.markowitz Source code
as.markowitz.default Source code
as.sr Man page Source code
as.sr.data.frame Man page Source code
as.sr.default Man page Source code
as.sr.lm Man page Source code
as.sr.matrix Man page Source code
as.sr.timeSeries Man page Source code
as.sr.unified Source code
as.sr.xts Man page Source code
as.sropt Man page Source code
as.sropt.default Man page Source code
as.sropt.xts Man page Source code
atoeplitz Source code
compute_sr Source code
confint.del_sropt Man page Source code
confint.sr Man page Source code
confint.sropt Man page Source code
dT2 Source code
d_T2_to_F Source code
d_T2_to_sropt Source code
deannualize Source code
deannualize2 Source code
del_sropt Man page Source code
del_sropt.asF Source code
drt Source code
dsr Man page Source code
dsropt Man page Source code
format.sr Source code
get_strat_names Source code
inference Man page Source code
inference.del_sropt Man page Source code
inference.sropt Man page Source code
is.del_sropt Man page Source code
is.sr Man page Source code
is.sropt Man page Source code
ism_vcov Man page Source code
ivech Source code
logT2_to_logF Source code
logT2_to_logsropt Source code
markowitz Source code
nfer_delt_xts Source code
nfer_ope_xts Source code
nference Source code
oneside2two Source code
pT2 Source code
pco_f Source code
pco_sropt Man page Source code
plambdap Man page Source code
power.sr_test Man page Source code
power.sropt_test Man page Source code
predint Man page Source code
print.del_sropt Man page Source code
print.sr Man page Source code
print.sropt Man page Source code
prt Source code
psr Man page Source code Source code
psropt Man page Source code
qT2 Source code
qco_f Source code
qco_sropt Man page Source code
qform Source code
qlambdap Man page Source code
qoform Source code
qrt Source code
qsr Man page Source code
qsropt Man page Source code
rT2 Source code
reannualize Man page Source code
reannualize.sr Man page Source code
reannualize.sropt Man page Source code
rlambdap Man page Source code
rrt Source code
rsr Man page Source code
rsropt Man page Source code
se Man page Source code
se.sr Man page Source code
sm_vcov Man page Source code
sr Man page Source code
sr2t Source code
sr_eq_guts Source code
sr_equality_test Man page Source code
sr_test Man page Source code
sr_test_on_sr Source code
sr_unpaired_test Man page Source code
sr_vcov Man page Source code
sric Man page Source code
sropt Man page Source code
sropt.pval Source code
sropt2T Source code
sropt_test Man page Source code
sropt_to_T2 Source code
sub.markowitz Source code
summary Man page Source code
summary.sr Man page Source code
summary.sropt Man page Source code
t2sr Source code
t_confint Source code
t_se Source code
t_se_normal Source code

Files

inst
inst/CITATION
inst/extdata
inst/extdata/haircut_study.rda
inst/extdata/hotelling_power_rule.rda
inst/extdata/skew_study.rda
inst/extdata/ret_data.rda
inst/extdata/autocorr_study.rda
inst/doc
inst/doc/SharpeR.pdf
inst/doc/SharpeRatio.Rnw
inst/doc/SharpeRatio.R
inst/doc/SharpeR.Rnw
inst/doc/SharpeR.R
inst/doc/SharpeRatio.pdf
tests
tests/testthat.R
tests/testthat
tests/testthat/test-distributions.r
tests/testthat/test-unified.r
tests/testthat/test-tests.r
tests/testthat/test-basic.r
tests/testthat/test-estimation.r
NAMESPACE
R
R/estimation.r
R/unified.r
R/utils.r
R/distributions.r
R/SharpeR.r
R/sr.r
R/tests.r
vignettes
vignettes/rauto.bib
vignettes/SharpeR.sty
vignettes/.install_extras
vignettes/warning.png
vignettes/SharpeRatio.Rnw
vignettes/SharpeR.Rnw
vignettes/SharpeR.bib
README.md
MD5
build
build/vignette.rds
DESCRIPTION
man
man/ism_vcov.Rd
man/is.sr.Rd
man/as.sr.Rd
man/plambdap.Rd
man/power.sropt_test.Rd
man/as.sropt.Rd
man/as.del_sropt.Rd
man/NEWS.Rd
man/sr_test.Rd
man/sr.Rd
man/predint.Rd
man/dsropt.Rd
man/SharpeR.Rd
man/se.Rd
man/confint.Rd
man/is.del_sropt.Rd
man/is.sropt.Rd
man/sric.Rd
man/inference.Rd
man/sropt_test.Rd
man/del_sropt.Rd
man/dsr.Rd
man/sropt.Rd
man/print.Rd
man/sr_unpaired_test.Rd
man/pco_sropt.Rd
man/power.sr_test.Rd
man/summary.Rd
man/sr_vcov.Rd
man/sm_vcov.Rd
man/sr_equality_test.Rd
man/reannualize.Rd
.Rinstignore
SharpeR documentation built on May 19, 2017, 2:35 p.m.

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

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

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