Fw: [amibroker] Re: Sharpe Ratio

["Joe Landry" <jelandry@xxxxxxxxxxxxx>]

Oops!  Forgot to include another function.

 

  SDF      = StDev(ROC(Close,    1),252);

 

JOE

 

----- Original Message -----

From: Joe Landry

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, December 07, 2004 7:08 AM

Subject: Re: [amibroker] Re: Sharpe Ratio

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 -----

From: Nigel Rowe

To: amibroker@xxxxxxxxxxxxxxx

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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