Sharpe ratio

Questions about MultiCharts and user contributed studies.
elon100
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Sharpe ratio

Postby elon100 » 13 Mar 2016

Is it possible to supply a file with risk free returns for getting more accurate Sharpe ratio calculations? For example in the 80s the risk free rate was high but now it is nearly 0.

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TJ
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Re: Sharpe ratio

Postby TJ » 13 Mar 2016

Is it possible to supply a file with risk free returns for getting more accurate Sharpe ratio calculations? For example in the 80s the risk free rate was high but now it is nearly 0.
Can you elaborate more on what you want to do?

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JoshM
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Re: Sharpe ratio

Postby JoshM » 13 Mar 2016

Is it possible to supply a file with risk free returns for getting more accurate Sharpe ratio calculations? For example in the 80s the risk free rate was high but now it is nearly 0.
If you code the Sharpe ratio yourself it's possible to use different risk-free interest rates for different periods. The risk-free rate in the MultiCharts settings (and the Strategy Performance Report) is however a fixed value for the whole backtest period, and cannot be set to different risk-free rates for different periods, unfortunately.


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