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Re (from Joe): "BTW - If you're using the AB AutoAnalyser routine.
wouldn't the backtesting report give you the Sharpe Ratio. "
Yes -- but that's why I asked about programmatic access. It may be
beyond my meager skills but I've been thinking of doing individual
backtests over a set of stocks and then, as second step, do a
portfolio level backtest using the Sharpe ratios from the first step
as the position scoring method.
The problem is that results from the first test need to be saved
somewhere to be accessible to the second step. But I think this might
be possible using some combination of static or dynamic variables
(or -- worst case -- in a file).
Has anybody done anything similar to this and, if so, any suggestions
would be appreciated.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxxx> wrote:
> Here's some raw material that may be useful. Note that you need an
array of a standard rate of return. That's calculated by the function
below - Irate(5) for 5 %, the
> percentage is something you choose.
>
> Then in the last line used to calculate the Sharpe ratio, place
your equity in there... in your case I'm thinking you are measuring
the <~~~equity> from your backtesting.
>
> BTW - If you're using the AB AutoAnalyser routine. wouldn't the
backtesting report give you the Sharpe Ratio.
>
> Credit for these forumlas due to Bruce, and others. Hope this
helps.
>
> JOE
>
> function Irate(interest_rate)
> {
> // This gets the log of the daily rate
> logbarfactor = log(1 + interest_rate / 100) / 252;
>
> // Force the first bar to 0
> logvect = IIf(BarIndex() == 0, 0, logbarfactor);
>
> // Sum the log of the daily gain factors and
> // convert back to get equity
> return(exp(Cum(logvect)));
> }
>
> // Plot this in your testing to see if you agree
> // Test with an APR of 5.%
> vect = Irate(5);
> ////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////
//////////////////////////////////////
>
> // SHARPE PERFORMANCE INDEX a risk adjusted measure of the
performance of an equity compared to the risk free benchmark standard
rate of return eg = 5%
> vect = Irate(5); // use this intermediate step or place in
the forumla below
> SHARPE = ( MA(ROC(C,1),252) - MA(ROC(Vect,1),252) )/(SDF);
>
>
>
> ----- Original Message -----
> From: Nigel Rowe
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, December 07, 2004 1:01 AM
> Subject: Re: [amibroker] Re: Sharpe Ratio
>
>
> -----BEGIN PGP SIGNED MESSAGE-----
> Hash: SHA1
>
> <re-sequenced for bottom posting>
>
> > --- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
> > <danielwardadams@xxxx> wrote:
> > > Is there any way to programmatically access the Sharpe Ratio
> > > resulting from a backtest?
> > >
> > > TIA,
> > > Dan
>
> On Tue, 7 Dec 2004 17:44, Pal Anand wrote:
> > Dan,
> >
> > This may help:
> >
> > http://finance.groups.yahoo.com/group/amibroker-ts/message/2369
> >
> > rgds, Pal
>
> The word 'sharpe' doesn't appear anywhere on that page. If
that's the page
> you meant to reference, how does it help?
>
> - --
> Nigel Rowe
> rho@xxxx
>
>
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>
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> hwRXucGcS3RFp3/9ISFJ41M=
> =hAyH
> -----END PGP SIGNATURE-----
>
>
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