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At 12:44 PM -0700 7/7/99, ROBERT ROESKE wrote:
>Is Sharp ratio code available for TS4 or PS2000i, or is it too complex to
>implement in .ela?
Below is a copy of a previous post containing my Sharpe Ratio
function. The ELA file is also attached.
Bob Fulks
-----
Mime-Version: 1.0
Date: Tue, 24 Nov 1998 19:19:12 -0500
To: "Code-List" <code-list@xxxxxxxxxxxxx>
From: Bob Fulks <bfulks@xxxxxxxxxxxx>
Subject: RE: CL_Sharpe Ratio?
Attached is code for a function to calculate the Sharpe Ratio of a trading
system. In addition, I have included two Demo trading systems to illustrate
the use of the function - one for futures and one for stocks.
The text is appended below. The ELA file is attached.
I have written many posts on the use of Sharpe Ratio. One of the more
complete ones was posted by Lorenzo Vercesi on his web site in Italy.
You can access it at http://www.venus.it/homes/ik2hlb/sr.htm
If you find any errors in this code please notify me.
Bob Fulks
{ *******************************************************************
System: Sharpe Demo (Futures)
Last Edit: 11/24/98
Coded By: Bob Fulks
Description: Sample usage of the SharpeRatio function for
futures trading. The InitValue variable should be equal to
the total equity controlled, not the margin balance in the
account.
********************************************************************}
Inputs: NoOfCont(2), {Number of contracts to trade}
PrMode(0); {Print mode}
Vars: InitValue(0), {Initial value of trading account}
NetValue(0), {Value of trading account over time}
Sharpe(0); {Sharpe Ratio}
{Establish value for initial account value}
if CurrentBar = 1 then
InitValue = Close * BigPointValue * NoOfCont;
{Simple trading system}
if Close > Close[1] then Buy NoOfCont Contracts next bar at market;
if Close < Close[1] then ExitLong next bar at market;
{Calculate Sharpe Ratio - using monthly samples}
NetValue = InitValue + NetProfit + OpenPositionProfit;
Sharpe = SharpeRatio(4, NetValue, 0, PrMode, TRUE);
-----------
{ *******************************************************************
System: Sharpe Demo (Stocks)
Last Edit: 11/24/98
Coded By: Bob Fulks
Description: Sample usage of the SharpeRatio function for
equities trading. The InitValue variable should be equal to
the total account value that will be invested.
********************************************************************}
Inputs: NoOfShrs(100), {Number of shares to trade}
PrMode(0); {Print mode}
Vars: InitValue(0), {Initial value of trading account}
NetValue(0), {Value of trading account over time}
Sharpe(0); {Sharpe Ratio}
{Establish value for initial account value}
if CurrentBar = 1 then
InitValue = Close * NoOfShrs;
{Simple trading system}
if Close > Close[1] then Buy NoOfShrs Shares next bar at market;
if Close < Close[1] then ExitLong next bar at market;
{Calculate Sharpe Ratio - using monthly samples}
NetValue = InitValue + NetProfit + OpenPositionProfit;
Sharpe = SharpeRatio(4, NetValue, 0, PrMode, FALSE);
---------------
{ *******************************************************************
Function : SharpeRatio
Last Edit : 11/24/98
Provided By : Bob Fulks
Description : This function calculates and returns the Sharpe Ratio
of a series of account values. It samples the series of values
on a yearly, quarterly, monthly, weekly, or daily basis as
determined by an input. It also calculates average return and
standard deviation. It prints the results in a form suitable for
importing into an Excel spreadsheet for plotting.
Inputs:
Mode - Sampling period (0=yearly, 1=quarterly, 2=monthly,
3=weekly, 4=daily
NetValue - The series of values to be sampled. It should be
equal to the beginning equity plus accumulated net profits.
Periods - The number of yearly, quarterly, etc., periods to
include in the calculation. If this value is zero, the
function will use all periods up to a maximum of 1500.
PrntMode:
zero - Print one line summary only on last bar
> zero - Print values as stored in array plus summary
< zero - Do not print anything
Futures:
TRUE - For futures trading (Sharpe = Ave / SDev)
FALSE - For Stocks (Sharpe = (Ave - 5) / SDev)
Method: The function samples the value of the trading account at
periodic intervals, calculates returns in each period, then
calculates the average and standard deviation of returns and
annualizes them. It then calculates to Sharpe Ratio as noted
above.
Assumptions: The usage for stocks assumes a constant value of 5%
for the risk-free return (T-Bill interest rate). This is a good
assumption for recent times but may be incorrect for the distant
past. The Sharpe Ratio is independent of the sampling interval
if the returns are normally distributed. Returns are typically
not strictly normally distributed so the sampling interval will
affect the results somewhat. There should be more than about 25
samples to get reasonable accuracy so use daily samples for 1
to 6 months of trades, weekly samples for 6 months to 24 months
of trades, etc.
© 1998 Robert G. Fulks, All rights reserved.
********************************************************************}
Input: Mode(NumericSimple),
{0=yearly, 1=quarterly, 2=monthly, 3=weekly, 4=daily}
NetValue(NumericSimple),
{Net value of account = Beginning Equity + NetProfit}
Periods(NumericSimple),
{Number of periods to use in calculation, zero = all}
PrntMode(NumericSimple),
{0 = print summary, 1 = include detail, -1 = don't print}
Futures(TrueFalse);
{TRUE for Futures, FALSE for Stocks}
Vars: Index(0), {Index used to index Return array}
SIndex(0), {Index used to sum Return array}
LNetVal(0), {NetValue at end of previous period}
LClose(0), {Close at end of previous period}
YClose(0), {Close at end of previous bar}
Size(0), {Sixe of data to be stored in array}
ILast(0), {Number of entries in array}
Ave(0), {Average return}
ASum(0), {Used to calc Average}
SSum(0), {Used to calc Standard Deviation}
SDev(0), {Standard Deviation}
SDMult(0), {Multiplier to annualize Standard Deviation}
Mo(0), {Month for bar}
MP(0), {MarketPosition}
MPX(0), {MarketPosition flag becomes 1 on first trade}
YMo(0), {Month for previous bar}
Yr(-99), {Year for bar}
YYr(0), {Year for previous bar}
YDate(0), {Date for previous bar}
AvMult(0), {Multiplier to annualize Average}
NetVal(0), {NetValue series}
YNetVal(0), {Netval for previous bar}
Active(FALSE), {False for first calc then true thereafter}
Record(FALSE), {Flag to trigger calculation at end of period}
Summary(FALSE), {Flag set if summary printed}
StDate(0), {Start date}
Sharpe(0); {Sharpe Ratio}
Array: Return[1500](0); {Table of returns as a percent}
Size = iff(Periods > 0, Periods, 1500);
Size = MinList(Size, 1500);
NetVal = Netvalue;
Mo = Month(Date);
Yr = Year(Date);
{This determines marketposition in either systems or indicators}
if MarketPosition <> 0 then
MP = MarketPosition
else
MP = I_MarketPosition;
MPX = iff(MP <> 0, 1, MPX);
Condition1 = Mo = 1 or Mo = 4 or Mo = 7 or Mo = 10;
begin
{Initialize for yearly}
if Mode = 0 and Yr <> YYr then begin
SDMult = 1;
AvMult = 1;
Record = TRUE;
end;
{Initialize for quarterly}
if Mode = 1 and Mo <> YMo and Condition1 then begin
SDMult = 2;
AvMult = 4;
Record = TRUE;
end;
{Initialize for monthly}
if Mode = 2 and Mo <> YMo then begin
SDMult = SquareRoot(12);
AvMult = 12;
Record = TRUE;
end;
{Initialize for weekly}
if Mode = 3 and DayOfWeek(Date) < DayOfWeek(YDate) then begin
SDMult = SquareRoot(52);
AvMult = 52;
Record = TRUE;
end;
{Initialize for daily}
if Mode = 4 and Date <> YDate then begin
SDMult = SquareRoot(253);
AvMult = 253;
Record = TRUE;
end;
end;
{Action if new year, quarter, month, week, or day}
if Record = TRUE then begin
if Active = TRUE then begin
{Each time except first time}
begin
ILast = ILast + 1;
if LNetVal <> 0 then Value1 = YNetVal / LNetVal;
if Value1 > 0 then Return[Index] = 100 * Log(Value1);
if PrntMode > 0 then Print(Index:5:0, Date:7:0, YClose:6:2,
LClose:6:2, YNetVal:7:0, LNetVal:7:0, Return[Index]:4:2);
Index = Mod(Index + 1, Size);
end;
end else
{First time only after initial position}
if MPX > 0 then begin
Active = TRUE;
StDate = Date;
if PrntMode > 0 then Print(Index:5:0, Date:7:0, YClose:6:2,
LClose:6:2, YNetVal:7:0, LNetVal:7:0, Return[Index]:4:2);
end;
LClose = YClose;
LNetVal = YNetVal;
Record = FALSE;
end;
{Calculate and print summary}
if Active = TRUE and Summary = FALSE and
(LastBarOnChart or ILast >= Size) then begin
{Calculate average return in period}
Summary = TRUE;
ASum = 0;
ILast = MinList(Size, ILast);
for SIndex = 0 to ILast - 1 begin
ASum = ASum + Return[SIndex];
end;
Ave = ASum / ILast;
{Calculate annualized standard deviation}
SSum = 0;
for SIndex = 0 to ILast - 1 begin
SSum = SSum + Square(Return[SIndex] - Ave);
end;
SDev = SDMult * SquareRoot(SSum / ILast);
{Annualize average}
Ave = AvMult * Ave;
{Convert back to ratios from logarithms}
SDev = 100 * (ExpValue(SDev / 100) - 1);
Ave = 100 * (ExpValue(Ave / 100) - 1);
{Calculate Sharpe Ratio}
if SDev <> 0 then begin
if Futures then
Sharpe = Ave / SDev
else
Sharpe = (Ave - 5) / SDev;
end;
if PrntMode >= 0 then
Print( ",", StDate:6:0, ",", ILast:6:0, ",", SDev:6:1, "%,",
Ave:6:1, "%,", Sharpe:3:2, ", ",GetSymbolName, ",");
end;
{Print(Date:6:0, NetVal, Sharpe:4:2, MP:2:0, Active);}
YMo = Mo;
YYr = Yr;
YDate = Date;
YClose = Close;
YNetVal = NetVal;
SharpeRatio = Sharpe;
-------------------------
Attachment Converted: "c:\eudora\attach\SHARPRAT.ELA"
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