Package: sharpeRratio 1.4.3

sharpeRratio: Moment-Free Estimation of Sharpe Ratios

An efficient moment-free estimator of the Sharpe ratio, or signal-to-noise ratio, for heavy-tailed data (see <arxiv:1505.01333>).

Authors:Damien Challet

sharpeRratio_1.4.3.tar.gz
sharpeRratio_1.4.3.zip(r-4.7-x86_64)sharpeRratio_1.4.3.zip(r-4.7-arm64)sharpeRratio_1.4.3.zip(r-4.6-x86_64)sharpeRratio_1.4.3.zip(r-4.6-arm64)sharpeRratio_1.4.3.zip(r-4.5-x86_64)
sharpeRratio_1.4.3.tgz(r-4.6-x86_64)sharpeRratio_1.4.3.tgz(r-4.6-arm64)sharpeRratio_1.4.3.tgz(r-4.5-x86_64)sharpeRratio_1.4.3.tgz(r-4.5-arm64)
sharpeRratio_1.4.3.tar.gz(r-4.7-arm64)sharpeRratio_1.4.3.tar.gz(r-4.7-x86_64)sharpeRratio_1.4.3.tar.gz(r-4.6-arm64)sharpeRratio_1.4.3.tar.gz(r-4.6-x86_64)
sharpeRratio_1.4.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
sharpeRratio/json (API)

# Install 'sharpeRratio' in R:
install.packages('sharpeRratio', repos = c('https://damienchallet.r-universe.dev', 'https://cloud.r-project.org'))
Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:
  • a - A pre-calibrated spline function needed to translate the number of upper/lower records in to signa-to-noise ratios.
  • f - A pre-calibrated spline function needed to translate the number of upper/lower records in to signa-to-noise ratios.

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

cpp

1.70 score 5 scripts 268 downloads 1 exports 4 dependencies

Last updated from:afc5c67b54. Checks:15 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK115
linux-devel-x86_64OK116
source / vignettesOK141
linux-release-arm64OK106
linux-release-x86_64OK108
macos-release-arm64OK142
macos-release-x86_64OK187
macos-oldrel-arm64OK168
macos-oldrel-x86_64OK280
windows-devel-arm64OK349
windows-devel-x86_64OK138
windows-release-arm64OK327
windows-release-x86_64OK80
windows-oldrel-x86_64OK90
wasm-releaseOK81

Exports:estimateSNR

Dependencies:ghypMASSnumDerivRcpp