Sharpe ratio
Sharpe ratio
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.
- TJ
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Re: Sharpe ratio
Can you elaborate more on what you want to do?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.
- JoshM
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Re: Sharpe ratio
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.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.