r-sharpeRratio

Description

Moment-Free Estimation of Sharpe Ratios.

Description

An efficient moment-free estimator of the Sharpe ratio, or signal-to-noise ratio, for heavy-tailed data (see <arXiv:1505.01333>).

README.md

sharpeRratio

R package to compute Sharpe ratios with the total drawdown duration of a price time series.

Metadata

1.4.3

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