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

# Install 'sharpeRratio' in R:

install.packages('sharpeRratio', repos = c('https://damienchallet.r-universe.dev', 'https://cloud.r-project.org'))

Uses libs:

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:

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

Last updated 2 years agofrom:afc5c67b54. Checks:OK: 9. Indexed: yes.

Exports:estimateSNR

Help page	Topics
A moment-free estimator of the Sharpe (signal-to-noise) ratio	sharpeRratio-package sharpeRratio
A pre-calibrated spline function needed to translate the number of upper/lower records in to signa-to-noise ratios.	a
Computes the average difference between the number of upper and lower records of the cumulative sum of the sample values.	computeR0bar
computes the signal-to-noise ratio	estimateSNR
A pre-calibrated spline function needed to translate the number of upper/lower records in to signa-to-noise ratios.	f
Computes the number of lower records of the cumulative sum of 'x'	num_records_down
Computes the number of upper records of the cumulative sum of 'x'	num_records_up