Compute power of test, or determine parameters to obtain target power.
power.sropt_test(df1=NULL,df2=NULL,zeta.s=NULL,
sig.level=0.05,power=NULL,ope=1)Object of class power.htest, a list of the arguments
(including the computed one) augmented with method, note
and n.epoch elements, the latter is the number of epochs
under the given annualization (ope), NA if none given.
the number of assets in the portfolio.
the number of observations.
the 'signal-to-noise' parameter, defined as ...
Significance level (Type I error probability).
Power of test (1 minus Type II error probability).
the number of observations per 'epoch'. For convenience of
interpretation, The Sharpe ratio is typically quoted in 'annualized'
units for some epoch, that is, 'per square root epoch', though returns
are observed at a frequency of ope per epoch.
The default value is 1, meaning the code will not attempt to guess
what the observation frequency is, and no annualization adjustments
will be made.
Steven E. Pav shabbychef@gmail.com
Suppose you perform a single-sample test for significance of the optimal Sharpe ratio based on the corresponding single-sample T^2-test. Given any four of: the effect size (the population optimal SNR, \(\zeta_*\)), the number of assets, the number of observations, and the type I and type II rates, this function computes the fifth.
See ‘The Sharpe Ratio: Statistics and Applications’, section 6.3.3.
Exactly one of the parameters df1, df2,
zeta.s, power, and
sig.level must be passed as NULL, and that parameter is determined
from the others. Notice that sig.level has non-NULL default, so NULL
must be explicitly passed if you want to compute it.
Pav, S. E. "The Sharpe Ratio: Statistics and Applications." CRC Press, 2021.
reannualize
power.t.test, sropt_test
Other sropt:
as.sropt(),
confint.sr(),
dsropt(),
is.sropt(),
pco_sropt(),
reannualize(),
sropt,
sropt_test()
anex <- power.sropt_test(8,4*253,1,0.05,NULL,ope=253)
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