An efficient moment-free estimator of the Sharpe ratio, or signal-to-noise ratio, for heavy-tailed data (see ).
R package to compute Sharpe ratios with the total drawdown duration of a price time series
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1.4.3 by Damien Challet, 4 years ago
Browse source code at https://github.com/cran/sharpeRratio
Authors: Damien Challet
Documentation: PDF Manual
GPL license
Imports Rcpp
Depends on ghyp, methods
Linking to Rcpp
See at CRAN