Hi,
Does anyone know how to run a portfolio optimization based on the Sharpe ratio? I am surprise that there are not reserved words for the most common performance ratios, e.g. Sharpe, Sortino etc. When I tried to do a portfolio optimization using Custom Criteria, I could not figure out how to reference Sharpe or Sortino ratio.
Thanks,
Adam
Sharpe ratio
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- Posts: 82
- Joined: 20 Jun 2009
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Re: Sharpe ratio
Dear MC Team:
The reserved words supported in Multicharts optimization is not exhaustive. It would be nice if something like below could be added in future versions.
- Standard Deviation of "percentage change in daily equity".
- Semi Deviation of "percentage change in daily equity".
- Average of "percentage change in daily equity".
Adam:
For the time being
if (StrategyPerformance.MaxStrategyDrawDown != 0) {
return StrategyPerformance.NetProfit / (-StrategyPerformance.MaxStrategyDrawDown);
will help to optimize for risk adjusted returns.
regards
Tobias
The reserved words supported in Multicharts optimization is not exhaustive. It would be nice if something like below could be added in future versions.
- Standard Deviation of "percentage change in daily equity".
- Semi Deviation of "percentage change in daily equity".
- Average of "percentage change in daily equity".
Adam:
For the time being
if (StrategyPerformance.MaxStrategyDrawDown != 0) {
return StrategyPerformance.NetProfit / (-StrategyPerformance.MaxStrategyDrawDown);
will help to optimize for risk adjusted returns.
regards
Tobias
Re: Sharpe ratio
Thanks for the reply Tobias.
As a substitute for Sharpe ratio, I would like to do linear regression on the equity curve (ie the slope of the equity curve). Any ideas how to calculate that?
Thanks in advance,
Adam
As a substitute for Sharpe ratio, I would like to do linear regression on the equity curve (ie the slope of the equity curve). Any ideas how to calculate that?
Thanks in advance,
Adam
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- Posts: 82
- Joined: 20 Jun 2009
- Been thanked: 1 time
Re: Sharpe ratio
Sorry, no idea - I tend to keep it simple ... then it is usually also robust.
regards
Tobias
regards
Tobias
- Dave Masalov
- Posts: 1712
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- Has thanked: 51 times
- Been thanked: 489 times
Re: Sharpe ratio
Dear Sirs,
We plan to add equity and equity curve in the future. Thus, it will be possible to get - Standard Deviation of "percentage change in daily equity", Semi Deviation of "percentage change in daily equity" and Average of "percentage change in daily equity" as well as Sharpe, Sortino and other ratios.
Unfortunately this is not possible at the moment.
We plan to add equity and equity curve in the future. Thus, it will be possible to get - Standard Deviation of "percentage change in daily equity", Semi Deviation of "percentage change in daily equity" and Average of "percentage change in daily equity" as well as Sharpe, Sortino and other ratios.
Dear Adam,As a substitute for Sharpe ratio, I would like to do linear regression on the equity curve (ie the slope of the equity curve). Any ideas how to calculate that?
Unfortunately this is not possible at the moment.