fun_SharpeCompare_v3: fun_SharpeCompare_v3

In 3schwartz/SpecialeScrAndFun: Script and functions used for master thesis.

Description

fun_SharpeCompare_v3

Usage

fun_SharpeCompare_v3(listData = listExcess, withoutBCH = withoutBCH,
  lag = c(1, 3, 6, 12), proAnnuVol = 0.4, savePlot = FALSE,
  name = "Crypto",
  outputFig = c("C:/Users/Soren Schwartz/Dropbox/Egne dokumenter/Skole/master/opgave/Figures/"),
  width = 8, height = 6)

Arguments

listData	List of daily data with excess, excessvol adjusted and sigma
lag	Number of lags used for lookback
proAnnuVol	int: Procent one scale the inverse of the volatility with
savePlot	If one want to save plot
name	name for outpput blot
outputFig	Output path if one have said TRUE to saveplot
width	Width of plot saved
height	heigh of plot saved

Value

A list

name Sharpe_table	description List with TSMOM for each crypto
name Sharpe_plot	description Table of Sharpe ratios
name Sharpe_Cum_plot	description Sharpe ratios given in tidy form
name SharpeCum_tidy	description Sharpe ratios cumulated given in tidy form

3schwartz/SpecialeScrAndFun documentation built on May 4, 2019, 6:29 a.m.