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Mike,
I'm not aware of a an app that calculates the SR for a portfolio by simply
pasting and submitting transactions. Do you know of one?
________________________________
From: mike ball [mailto:thinkpad600e@xxxxxxxxx]
Sent: Friday, December 28, 2007 6:00 PM
To: cwest@xxxxxxxxxxxx; omega-list@xxxxxxxxxx
Subject: Re: "The Sharpe Engine" My 2008 project
Cwest,
Why are you recreating the wheel?
Is this project simply something that you want to build out of personal
satisfaction?
cwest <cwest@xxxxxxxxxxxx> wrote:
Several years ago Bob Fulks enlightened me (and many others I
suspect) to
the merit of considering trading and investing in the context of the
Sharpe
Ratio (SR). For quite some time I've wanted to develop what I'll
call the
"Sharpe Engine." Its one of those ideas that sits on the back-burner
until
it evolves into a more complete design, which it now has.
My vision is to have a resource that'll calculate the SR on just
about
anything. Imagine an historical data repository that consolidates
data from
wherever its readily available--stocks, commodities, derivatives,
USA,
foreign, and so on. Next, drag or paste a list of transactions or
trades
into a window, click submit, and the SR for the portfolio equity
and/or
notional value calculates.
To extend this further, imagine that you could also retrieve the
top,
average and bottom SRs for the last 1-10 years of the performance of
analysts, CEOs and fund managers--mutual, hedge, futures, etc. That
ought to
shine the spot-light on a few red faces.
The purpose of this post is to obtain some input that anyone
considers would
be a feature to include in this project. All suggestions are
welcome.
Thank you.
cwest
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