| sharpeRratio-package |
A moment-free estimator of the Sharpe (signal-to-noise) ratio |
| a |
A pre-calibrated spline function needed to translate the number of upper/lower records in to signa-to-noise ratios. |
| 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 |
| f |
A pre-calibrated spline function needed to translate the number of upper/lower records in to signa-to-noise ratios. |
| 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 |
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