computeR0bar {sharpeRratio}

Computes the average difference between the number of upper and lower records of the cumulative sum of the sample values.

Description

Computes the average difference between the number of upper and lower records of the cumulative sum of the sample values.

Usage

computeR0bar(x, numPerm = 100L, q1 = 0.025, q2 = 0.975)

Arguments

x

a vector of sample values

numPerm

the number of random permutations (or shuffles) of the sample value order

q1

a real number for computing the lower confidence interval

q2

a real number for computing the upper confidence interval

Value

a list

• mean the average difference of upper and lower records of the cumulative sum of x

• q1 the q1 quantile of the difference

• q1 the q2 quantile of the difference