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.

Author
Steven E. Pav [aut, cre]
Date of publication
2016-03-14 07:54:14
Maintainer
Steven E. Pav <shabbychef@gmail.com>
License
LGPL-3
Version
1.1.0
URLs

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