probProfit: Probability of Profit

In LSPM: The Leverage Space Portfolio Modeler

Description

Functions to compute the probability of profit

Usage

  probProfit(lsp, target, horizon, error=0.001, sigma=3, snow=NULL)

Arguments

lsp	A lsp object.
target	The profit target.
horizon	The number of holding periods.
error	Error level to determine permutation sample size.
sigma	Confidence level to determine permutation sample size.
snow	An optional snow object.

Value

The probability of profit

Author(s)

Joshua Ulrich

References

Vince, Ralph (2007) The Handbook of Portfolio Mathematics. New York: John Wiley & Sons, Inc.
Vince, Ralph (2009) The Leverage Space Trading Model. New York: John Wiley & Sons, Inc.

LSPM documentation built on May 2, 2019, 5:54 p.m.