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I'm new to AmiBroker, but
certainly not new to trading :) Here's some code for measuring 'my' risk-ratio.
Perhaps someone else can expand it to include a second symbol that represents an
interest rate, which can be deducted from the return before dividing it by the
standard deviation.
_SECTION_BEGIN ("riskratio");
//risk ratio is the annualized daily return divided by the annualized
standard deviation. risk ratio = rr
//dailyreturn =
dr
//annualized daily return = drpa
//annulaized stdev = sdpa
dr=log(Close/Ref(Close,-1));
drpa=MA(dr,253)*253;
sdpa=StDev(dr,253)*sqrt(253);
rr=drpa/sdpa;
Plot(rr,"risk ratio", colorRed);
_SECTION_END();
Colin
Hi,
Thank you all for sharing your thoughts.
Considering I
am a newcomer to trading, it is very interesting to learn from serious traders.
Nothing replaces experience.
By the way Colin, might you post the AFL
code of your MSR ?
Tia,
Regards,
Evo1
cwest a
écrit :
My favorite
subject/issue--performance measurement. The most preferred benchmark by which
investment and/or trading results are measured is the Sharpe ratio. However,
imo there's a valid modification one should make to this measure. The Sharpe
ratio assumes the risk-free rate is the interest rate of 90 day Government
paper. That's unreasonable as there are plenty of alternatives that
aren't classified as junk paper--270 day BBB+ Corporate notes, for
example. Even GM short-term paper is still pretty much
risk-free!
Therefore, a modified
Sharpe ratio (MSR) would be: annualized daily average return less the
Corporate short-term interest rate, divided by the standard deviation of the
annualized daily average return, is 'my' benchmark for investment and/or
trading. When calculations are annualized short-term or long-term isn't too
relevant.
If your trading systems
can't exceed 1.5 MSR--the higher the number the better the performance--it's
back to the drawing board. fwiw, very few mutual funds exceed 1.0 MSR :). Very
good hedge managers obtain 2.0+ MSR.
Colin
West
Hi,
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