SharpeR
Statistical Significance of the Sharpe Ratio
Description
A collection of tools for analyzing significance of assets, funds, and trading strategies, based on the Sharpe ratio and overfit of the same. Provides density, distribution, quantile and random generation of the Sharpe ratio distribution based on normal returns, as well as the optimal Sharpe ratio over multiple assets. Computes confidence intervals on the Sharpe and provides a test of equality of Sharpe ratios based on the Delta method. The statistical foundations of the Sharpe can be found in the author's Short Sharpe Course <doi:10.2139/ssrn.3036276>.
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CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
CRAN incoming feasibility
Maintainer: ‘Steven E. Pav <shabbychef@gmail.com>’
Found the following (possibly) invalid file URI:
URI: books.google.com/books
From: inst/doc/SharpeRatio.pdf
CRAN incoming feasibility
Maintainer: ‘Steven E. Pav <shabbychef@gmail.com>’
Found the following (possibly) invalid file URI:
URI: books.google.com/books
From: inst/doc/SharpeRatio.pdf
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
CRAN incoming feasibility
Maintainer: ‘Steven E. Pav <shabbychef@gmail.com>’
Found the following (possibly) invalid file URI:
URI: books.google.com/books
From: inst/doc/SharpeRatio.pdf
CRAN incoming feasibility
Maintainer: ‘Steven E. Pav <shabbychef@gmail.com>’
Found the following (possibly) invalid file URI:
URI: books.google.com/books
From: inst/doc/SharpeRatio.pdf