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.

Files in this package

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.

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