.profitHurdle

Sampling frequency; [1,2,3,4,5] = [Daily, Weekly, Monthly, Quarterly, Annual]

sm_fre

No. of tests one allows for in multiple tests

num_tests

No. of monthly observations for a strategy

num_obs

alpha_sig

Annual return volatility (e.g., 0.05 or 5#)

vol_annual

Assumed average correlation, default 0.2

internal implementation of profit hurdle code, see <code><a rd-options="" href="/link/profit.hurdle?package=quantstrat&version=0.16.7" data-mini-rdoc="quantstrat::profit.hurdle">profit.hurdle</a></code>

Specify, build, and back-test quantitative
financial trading and portfolio strategies.

Brian G Peterson

quantstrat

Quantitative Strategy Model Framework

.profitHurdle function

internal implementation of profit hurdle code, see <code><a rd-options='' href='profit.hurdle'>profit.hurdle</a></code>

internal implementation of profit hurdle code, see <code><a rd-options='' href='profit.hurdle'>profit.hurdle</a></code> — .profitHurdle

internal implementation of profit hurdle code, see <code><a rd-options='' href='profit.hurdle'>profit.hurdle</a></code>

internal implementation of profit hurdle code, see <code><a rd-options="" href="/link/profit.hurdle?package=quantstrat&version=0.16.7" data-mini-rdoc="quantstrat::profit.hurdle">profit.hurdle</a></code>

.profitHurdle: internal implementation of profit hurdle code, see `profit.hurdle`

Description

Usage

Arguments