Metadata-Version: 1.1
Name: pysharperratio
Version: 0.1.7
Summary: A moment-free estimator of the Sharpe (signal-to-noise) ratio.
Home-page: http://www.amirsani.com
Author: Amir Sani
Author-email: reachme@amirsani.com
License: UNKNOWN
Download-URL: https://github.com/amirsani/pySharpeRratio
Description: pySharpeRratio
        ==============
        
        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.
        
        Author & Maintainer: Amir Sani
        ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
        
        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
        -----------------------------
        
Platform: UNKNOWN
