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At 1:48 PM -0800 1/6/02, JL wrote:
>Is there a TradeStation code for Sharpe Ratio?
I posted some code about three years ago that is pretty widely used.
The ELA is attached. Also included is a demo system that shows how to
use it. Please read the code in the system and the comments.
The problem with this is that it is a bit hard to use and it assumes
certain things about the equity curve that are not always true. In
practice the errors from these funny cases are pretty small. It also
works on intraday data.
I have a new version I plan to finish when I get time. It is easier
to use but I keep adding improvements... It also has good stuff like
error messages, etc.
Perhaps I will get time to work on it soon...
As I recall the calculation built into TradeStation 2000i is pretty
accurate if you trade a fixed $100,000 trade size. I had discussions
with the people at Rina Systems and they were quite responsive in
fixing the code in the product they sell. But they said they have no
control over when or if the fixes will ever get into TradeStation.
Bob Fulks
Attachment:
Description: "SHARPDMO.ELA"
Attachment:
Description: "%SHARPDMO.ELA"
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