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Get the rolling Sharpe's ratio values

Posted By alexkopy 6 Years Ago
Posted Sunday March 20 2011

I am trying to extend the System Results to include the rolling Sharpe's ratio values. I do not need them graphed, I only need to get the list of all values of Sharpe's ratio during the system execution. The current result only produces the final ratio at the end. I am interested in recording the value either every time it changes (if some generalized event hook is possible) or every time I close any position. I am not sure how to do this, though. Also, must this be integrated as part of the system or is there a way I can make it a generalized plugin, so that systems are not aware of the extra work and when I run them I just get he the list of values in the System Results?

Thanks you.
Posted Tuesday March 29 2011
The current Sharpe Ratio plugin only runs at the end of a simulation, so you would have to implement the calculation yourself in your trading system logic.

Posted Tuesday March 29 2011
Thanks for the reply. I did do that Smile it was somewhat quick-hackish, but I just wanted it to check the usability. As it turns out it is useless, as Sharpe Ratio doesn't change in any significant way over the time windows I care about.

Live and learn Smile

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