shabbychef/SharpeR: Statistical Significance of the Sharpe Ratio

A collection of tools for analyzing significance of assets, funds, and trading strategies, based on the Sharpe ratio and overfit of the same. Provides density, distribution, quantile and random generation of the Sharpe ratio distribution based on normal returns, as well as the optimal Sharpe ratio over multiple assets. Computes confidence intervals on the Sharpe and provides a test of equality of Sharpe ratios based on the Delta method.

Getting started

Package details

MaintainerSteven E. Pav <[email protected]>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
shabbychef/SharpeR documentation built on May 29, 2019, 8:05 p.m.