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For example here's Werner Gansz's Trade code for Sharpe ...
sdf = Stdev(Roc(fund, 1), window) * Pow(21.15, .5)
sharpe = (Sma(Roc(fund, 1), window) - Sma(Roc(fdrxx, 1), window)) /
(sdf / Pow(21.15, .5))
Where "window" would be 252 ...
Is this what you are looking to do ?
--- 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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