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 |