[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Sharpe Ratio



PureBytes Links

Trading Reference Links

Seth,
What exactly do you want to do? 
If it is to simply find the Sharpe ratio of your returns then the following 
should be done;

Take 12 month period for example. 
for each month take the "net realised profit" and divide it by the "starting 
capital" of the month to get the % return for each month. 
Calc the Std Dev of these monthly returns over the year "=STDEVPA
(month1,month2...month12)"
Calc annual return by taking ((1+month1%)*(1+month2%)*....*(1+month12%))-1 
Now find the risk free rate of return (e.g. 90day T-bill return over the 
period for $)

Sharpe Ratio =(annual return - risk free return)/Std Dev of returns

It is easily implemented in Excel
Regards
Tony