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Jun 25th, 2019
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  1. ## Run Sharpe testing (asymptotic hac)
  2. x = SR_for_r[,1]
  3. y = SR_for_r[,2]
  4. ctr = list(type = 1, hac = TRUE)
  5. out = sharpeTesting(x, y, control = ctr)
  6. print(out)
  7.  
  8. ## Run Sharpe testing (circular bootstrap)
  9. x = SR_for_r[,1]
  10. y = SR_for_r[,2]
  11. set.seed(1234)
  12. ctr = list(type = 2, nBoot = 1000, bBoot = 3)
  13. out = sharpeTesting(x, y, control = ctr)
  14. print(out)
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