Probability of Profit

Description

Functions to compute the probability of profit

Usage

1
  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.