internal implementation of profit hurdle code, see profit.hurdle
1 | .profitHurdle(sm_fre, num_tests, num_obs, alpha_sig, vol_annual, RHO)
|
sm_fre |
Sampling frequency; [1,2,3,4,5] = [Daily, Weekly, Monthly, Quarterly, Annual] |
num_tests |
No. of tests one allows for in multiple tests |
num_obs |
No. of monthly observations for a strategy |
alpha_sig |
Significance level (e.g., 5#) |
vol_annual |
Annual return volatility (e.g., 0.05 or 5#) |
RHO |
Assumed average correlation, default 0.2 |
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