A moment-free estimator of the Sharpe (signal-to-noise) ratio.
Project description
Description
This package implements a moment-free estimator of the Sharpe (signal-to-noise) ratio. The algorithm does not require the computation of any moments by estimating the Sharpe ratio based on the cumulative sum of (i.i.d.) increments or returns. This algorithm is much more precise (efficient) when increments are heavy-tailed.
The estimator computes the difference between the drawdown and drawup durations. First, the cumulative sum of x (e.g. prices) is computed, then the total drawdown and drawup durations are computed. Precision is improved by averaging the estimator on several random permutations of x.
Reference
Challet, Damien. “Sharper asset ranking from total drawdown durations.” arXiv preprint arXiv:1505.01333 (2015).
Bibtex
@article{challet2015sharper, title={Sharper asset ranking from total drawdown durations}, author={Challet, Damien}, journal={arXiv preprint arXiv:1505.01333}, year={2015} }
Copyright (c) 2017, Amir Sani
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