|
PureBytes Links
Trading Reference Links
|
I worked up an MS Excel spreadsheet sometime ago, which calculated the
Sharpe, Sortino, RRR and Ave5worstDD.
This is a vba macro translation of Bob Fulks code for TS2000i, again
it works off the equity curve, in this case the daily returns. It
includes as an example Mark Johnsons Thirteen equity data.
It was originally uploaded to Curtis Faith's Turtlle Trading site, now at
http://www.tradingblox.com/forum/viewtopic.php?t=1872
Cheers,
bc
On 12/31/07, Mark Johnson <janitor@xxxxxxxxxxxx> wrote:
> I happen to like the Sharpe ratio too. I find that when I
> run a bunch of historical backtest simulations and measure
> lots of statistics on the resulting equity curves, the curves
> my eyeball and my gut like best, seem to correlate with
> the highest Sharpe ratio. I've tried the standard set of
> candidates: Kestner K-Ratio, Sortino Ratio, Schwager Return
> Retracement Ratio, Seykota Lake Ratio, Spratling R-Squared,
> Curtis Faith R-Cubed, MAR ratio, Peter Martin Ulcer Index,
> Wealth Lab WL Score, ad nauseum. But the equity curves
> I like, and the equity curves Sharpe Ratio likes (biggest
> ratio), are a better match than with any other metric.
>
> However I would like to remind folks that to calculate a
> Sharpe Ratio, you need a time series of returns. A list
> of trade outcomes is insufficient; you don't know the
> *timing* of those outcomes. Different trades have different
> durations, and because we trade *portfolios* of instruments,
> many trades overlap one another. For example, here are
> the positions in one of my personal accounts, as of Friday.
> (I'll be adding another one on Sunday night, as I just got
> an entry signal for LIFFE White Sugar #5). There are 29
> different positions, nine of which got entered on a split
> fill and/or pyramid. See Bean Oil and Corn for two
> examples.
>
> These 29 trades, soon to be 30 trades, proceed in parallel.
> The daily returns of these positions add together to form
> the daily return of the portfolio as a whole. We can't
> know the portfolio return (thus we can't calculate a Sharpe
> Ratio) without knowing the *timing* of the individual trades.
> In fact, the easiest and in my opinion best way to
> calculate the Sharpe Ratio, is to begin with the equity
> curve itself.
>
> But you knew that already. This is merely a reminder.
> - MJ
>
> Sym EntryDate L/S ncars Month EntryPrice
> AD 20071210 L xxx Mar 0.87265
> BO 20071224 L xxx Mar 47.68
> BO 20071224 L xxx Mar 47.66
> C 20071126 L xxx Mar 409.00
> C 20071226 L xxx Mar 452.5
> CC 20071109 L xxx Mar 1951.0
> CD 20071210 L xxx Mar 0.99645
> CD 20071210 L xxx Mar 0.9964
> CGB 20071123 L xxx Mar 115.21
> CGB 20071204 L xxx Mar 116.03
> CU 20071210 L xxx Mar 1.4669
> DA 20071126 L xxx Mar 16.92
> DA 20071126 L xxx Mar 16.90
> DX 20071206 S xxx Mar 76.50
> EBM 20071126 L xxx Mar 109.50
> ED 20071107 L xxx Jun 95.79
> ED 20071126 L xxx Jun 96.16
> FC 20071210 S xxx Jan 105.85
> FF 20071001 L xxx Mar 95.73
> FF 20071001 L xxx Mar 95.725
> FSS 20071022 L xxx Jun 94.40
> FV 20071123 L xxx Mar 109^23.5
> GC 20071123 L xxx Feb 820.5
> KW 20071123 L xxx Mar 845.5
> LC 20071207 S xxx Feb 96.175
> LCC 20071228 L xxx Mar 1056.0
> LH 20071128 S xxx Feb 62.15
> MP 20071210 L xxx Mar 0.091775
> O 20071220 L xxx Mar 302.0
> PL 20071221 L xxx Apr 1527.8
> S 20071224 L xxx Mar 1193.50
> SB 20071228 L xxx Mar 11.06
> SJB 20071205 L xxx Mar 137.28
> SJB 20071205 L xxx Mar 137.26
> SM 20071224 L xxx Mar 335.00
> SM 20071224 L xxx Mar 335.25
> TU 20071123 L xxx Mar 105^03.5
> TY 20071123 L xxx Mar 112^23.75
> ------------------------------------------------
>
>
>
|