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Dan - Sorry I can't be of more
help.
I know Herman and others have
backtested/developed strategies based on equity curve performance and
there's been some talk of
accessing this previously
generated array on the forum over the past year. Maybe a search on
the forum archives for this would a clue.
I remember vaguely there was something
quirky about the sequence as to when that equity curve was available before your
next pass.
JOE
----- Original Message -----
Sent: Tuesday, December 07, 2004 8:01
AM
Subject: [amibroker] Re: Sharpe
Ratio
Re (from Joe): "BTW - If you're using the AB
AutoAnalyser routine.
wouldn't the backtesting report give you the
Sharpe Ratio. "
Yes -- but that's why I asked about programmatic
access. It may be
beyond my meager skills but I've been thinking of doing
individual
backtests over a set of stocks and then, as second step, do a
portfolio level backtest using the Sharpe ratios from the first step
as the position scoring method.
The problem is that results from
the first test need to be saved
somewhere to be accessible to the second
step. But I think this might
be possible using some combination of static
or dynamic variables
(or -- worst case -- in a file).
Has anybody
done anything similar to this and, if so, any suggestions
would be
appreciated.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Joe
Landry" <jelandry@xxxx> wrote:
> 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
>
>
> -----BEGIN PGP SIGNED
MESSAGE-----
> Hash: SHA1
>
>
<re-sequenced for bottom posting>
>
> > ---
In amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
> >
<danielwardadams@xxxx> 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@xxxx
>
>
> -----BEGIN PGP
SIGNATURE-----
> Version: GnuPG v1.2.4 (GNU/Linux)
>
>
iD8DBQFBtVU6BbmcM2pfckkRAvRlAKCIdU95mcj5VfAd/9Cbv7nhYuOvJACg8kwe
>
hwRXucGcS3RFp3/9ISFJ41M=
> =hAyH
>
-----END PGP SIGNATURE-----
>
>
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