Moment-Free Estimation of Sharpe Ratios
Computes the average difference between the number of upper and lower ...
computes the signal-to-noise ratio
Computes the number of lower records of the cumulative sum of x
Computes the number of upper records of the cumulative sum of x
A moment-free estimator of the Sharpe (signal-to-noise) ratio
An efficient moment-free estimator of the Sharpe ratio, or signal-to-noise ratio, for heavy-tailed data (see <arXiv:1505.01333>).