sharpe_ratio
Function Name: sharpe_ratio
Tags: None
Category: Other
A ratio developed by Nobel laureate William F. Sharpe to measure risk-adjusted performance. The Sharpe ratio is calculated by subtracting the risk-free rate (such as that of the 10-year U.S. Treasury bond in USA or
German government bills or Euribor rates in EU)
from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns. The Sharpe ratio formula is:
SR = E(R-Rf)/s(R-Rf),
where: R: asset return,
Rf: return on a benchmark asset, such as the risk free rate of return,
E[R - Rf]: expected value of the excess of the asset return over the benchmark return and
s(R-Rf): standard deviation of the excess of the asset returns
Function usage: sharpe_ratio(Period, RiskFreeReturn, BarsPerYear) where: Period: number of bars to use in analysis. RiskFreeReturn: return on a benchmark asset, such as the risk free rate of return (such as that of the 10-year U.S. Treasury bond in USA or
German government bills or Euribor rates in EU). The value should be given in %, per annum. BarsPerYear: custom number of bars per year. Used only if UseCustomBarsPerYear is set to true. UseCustomBarsPerYear: if true, BarsPerYear parameter is used. Otherwise the value is automatically calculated: 12 for monthly, 52 for weekly, 250 for daily.
Author: William F. Sharpe
Links: http://www.stanford.edu/~wfsharpe/art/sr/sr.htm, http://en.wikipedia.org/wiki/Sharpe_ratio, http://www.investopedia.com/terms/s/sharperatio.asp
Period |
Number of bars to use in analysis |
|
Default Value: 100 | Minimum: 0 | Maximum: 100000 |
|
Type: Numeric |
RiskFreeReturn |
in %, per annum |
|
Default Value: 1.2509999999999999 | Minimum: 0 | Maximum: 100 |
|
Type: Numeric |
BarsPerYear |
Used only if UseCustomBarsPerYear set to true, otherwise automatically calculated |
|
Default Value: 250 | Minimum: 12 | Maximum: 360000 |
|
Type: Numeric |
UseCustomBarsPerYear |
If true, BarsPerYear parameter is used. Otherwise the value is automatically calculated: 12 for monthly, 52 for weekly, 250 for daily. |
|
Default Value: 0 |
|
Type: Boolean |