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62 posts
msg #120242
Ignore hmsb4494
5/29/2014 6:21:23 PM

Any coding ideas for the 3 month average of the 1 month sharpe ratio---I cannot make the numbers work out

3,828 posts
msg #120244
Ignore Kevin_in_GA
5/29/2014 8:41:04 PM

/*STEP 1: Determine sharpe ratio for the last month (21 trading days)*/
SET{performance, roc(21,1)}
SET{Volatility, STD / MA(21)}
SET{VOL, Volatility * 100}

SET{SHARPE, performance / VOL}

/*STEP 2: Calculate the 3 month average of the 1 month sharpe ratio*/

set{averagesharpe, cma(sharpe,63)}

add column averagesharpe


Note that this does not use the annualized Sharpe - for such a short time you can use either with the same ranking result (to annualize this for the purist, multiply by the square root of 12, or 3.46).

62 posts
msg #120257
Ignore hmsb4494
5/30/2014 8:25:41 AM

Thanks Kevin---this is exactly what I was looking for.

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