ACStdDev.annualized | Autocorrleation adjusted Standard Deviation |
CalmarRatio.Norm | Normalized Calmar ratio |
CDrawdown | Chekhlov Conditional Drawdown at Risk |
chart.AcarSim | Acar-Shane Maximum Loss Plot |
chart.Autocorrelation | Stacked Bar Autocorrelation Plot |
EmaxDDGBM | Summary of Expected Drawdown using Brownian Motion Assumptions and Return-Volatility |
glmi | Fitting Generalized Linear Models with HC and HAC Covariance Matrix Estimators |
GLMSmoothIndex | GLM Index |
lmi | Fitting Generalized Linear Models with HC and HAC Covariance Matrix Estimators |
LoSharpe | Andrew Lo Sharpe Ratio |
QP.Norm | QP function for calculation of Sharpe Ratio |
Return.Geltner | GLM Index |
Return.GLM | GLM Return Model |
Return.Okunev | OW Return Model |
sd.annualized | Autocorrleation adjusted Standard Deviation |
sd.multiperiod | Autocorrleation adjusted Standard Deviation |
se.LoSharpe | Andrew Lo Sharpe Ratio Statistics |
StdDev.annualized | Autocorrleation adjusted Standard Deviation |
SterlingRatio.Norm | Normalized Sterling Ratio |
table.ComparitiveReturn.GLM | Compenent Decomposition of Table of Unsmooth Returns for GLM Model |
table.EMaxDDGBM | Summary of Expected Drawdown using Brownian Motion Assumptions and Return-Volatility |
table.normDD | Generalised Lambda Distribution Drawdown |
table.Sharpe | Sharpe Ratio Statistics Summary |
table.UnsmoothReturn | Table of Unsmooth Returns |
UnsmoothReturn | Unsmooth Time Series Return |