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initial integration of Harvey & Liu Profit Hurdle into package
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This implemention is tightly tied to portfolios, strategies, and test results from blotter and quantstrat. see #64
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jaymon0703 committed Aug 14, 2017
1 parent 407fd10 commit ee6e891
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6 changes: 5 additions & 1 deletion NAMESPACE
Original file line number Diff line number Diff line change
Expand Up @@ -2,6 +2,8 @@

S3method(print,dof)
S3method(print,haircutSR)
S3method(print,profitHurdle)
export(.profitHurdle)
export(SharpeRatio.deflated)
export(SharpeRatio.haircut)
export(add.distribution)
Expand Down Expand Up @@ -46,6 +48,8 @@ export(match.names)
export(osMaxPos)
export(osNoOp)
export(post.signal.returns)
export(profit.hurdle)
export(profitHurdle)
export(put.orderbook)
export(put.strategy)
export(rm.strat)
Expand Down Expand Up @@ -97,4 +101,4 @@ importFrom(stats,start)
importFrom(stats,time)
importFrom(utils,glob2rx)
importFrom(utils,installed.packages)
useDynLib(quantstrat,.registration=TRUE,.fixes="C_")
useDynLib(quantstrat, .registration=TRUE, .fixes="C_")
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