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[amibroker] Re: Help programming Sharpe Ratio



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Allen,

Is that formula really correct ?

Standard deviation of the fund ? or do you really mean standard 
deviation of the daily changes of the fund over a year ? or ?

Fred

--- In amibroker@xxxxxxxxxxxxxxx, "ajfulleton" <ajfulleton@xxxx> 
wrote:
> All,
> 
> I am struggling to program the Sharpe Ratio in AFL for use in mutual
> funds.  I hate to reinvent the wheel.  Has anyone attempted this 
task
> and would you share the AFL code with me?
> 
> (Fund annualized Return - Low Risk Return's annualized Return) /
> (Fund annualized Standard Deviation - Low Risk return's annualized
> Standard Deviation)
> 
> It looked simple to me when I started....
> 
> Thanks,
> 
> ...Allen
> 
> PS; I am new to AB, as you can tell.


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