Here's some raw material that may be
useful. Note that you need an array of a standard rate of return. That's
calculated by the function below - Irate(5) for 5 %, the
percentage is something you choose.
Then in the last line used to calculate the
Sharpe ratio, place your equity in there... in your case I'm thinking you are
measuring the <~~~equity> from your backtesting.
BTW - If you're using the AB AutoAnalyser
routine. wouldn't the backtesting report give you the Sharpe Ratio.
Credit for these forumlas due to Bruce, and
others. Hope this helps.
JOE
function Irate(interest_rate) { // This
gets the log of the daily rate logbarfactor = log(1 + interest_rate / 100) /
252;
// Force the first bar to 0 logvect =
IIf(BarIndex() == 0, 0, logbarfactor);
// Sum the log of the daily gain factors
and // convert back to get
equity return(exp(Cum(logvect))); }
// Plot this in your testing to see
if you agree
// Test with an APR of 5.% vect =
Irate(5);
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// SHARPE PERFORMANCE INDEX a risk adjusted
measure of the performance of an equity compared to the risk free benchmark
standard rate of return eg = 5% vect =
Irate(5); // use this intermediate step or place in the forumla
below SHARPE = ( MA(ROC(C,1),252) -
MA(ROC(Vect,1),252) )/(SDF);
----- Original Message -----
Sent: Tuesday, December 07, 2004 1:01
AM
Subject: Re: [amibroker] Re: Sharpe
Ratio
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<re-sequenced for bottom posting>
> --- In amibroker@xxxxxxxxxxxxxxx,
"danielwardadams" > <danielwardadams@x...> wrote: >
> Is there any way to programmatically access the Sharpe Ratio > >
resulting from a backtest? > > > > TIA, > >
Dan
On Tue, 7 Dec 2004 17:44, Pal Anand wrote: >
Dan, > > This may help: > > http://finance.groups.yahoo.com/group/amibroker-ts/message/2369 > >
rgds, Pal
The word 'sharpe' doesn't appear anywhere on that page.
If that's the page you meant to reference, how does it help?
- --
Nigel
Rowe
rho@xxxxxxxxxxxxxxx
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