AdjustedSharpeError: Calculates error in the Adjusted Sharpe Ratio The error...

Description Usage Arguments

Description

Calculates error in the Adjusted Sharpe Ratio The error calculation is sourced from : http://edge-fund.com/Lo02.pdf and is defined as sqrt(1+((SR)^2)/2) divided by N for the RAW Sharpe For Adjusted Sharpe, we use the error for Kurtosis and Skewness in conjunction with the Sharpe error

Usage

1

Arguments

Ra,

Rb ( default zero ) No wrapper used, instead the AdjustedSharpeRatio code is re-used to calculate Sharpe in the function itself Possible modification : Pass a flag variable error ( default zero ) into all sharpe Ratio functions and return error instead of Sharpe if error = 1


AmurG/PerformanceAnalytics documentation built on May 5, 2019, 4:55 a.m.