quantstrat (version 0.16.7)

sample_random_multests: Generate empirical p-value distributions

Description

Generate empirical p-value distributions

Usage

sample_random_multests(rho, m_tot, p_0, lambda, M_simu)

Arguments

rho

average correlation among returns

m_tot

total number of trials

p_0

probability for a random factor to have a zero mean

lambda

average of monthly mean returns for true strategies

M_simu

number of simulations to perform