Moment-Free Estimation of Sharpe Ratios


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Documentation for package ‘sharpeRratio’ version 1.4.2

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sharpeRratio-package A moment-free estimator of the Sharpe (signal-to-noise) ratio
computeR0bar Computes the average difference between the number of upper and lower records of the cumulative sum of the sample values.
estimateSNR computes the signal-to-noise ratio
num_records_down Computes the number of lower records of the cumulative sum of 'x'
num_records_up Computes the number of upper records of the cumulative sum of 'x'
sharpeRratio A moment-free estimator of the Sharpe (signal-to-noise) ratio