Sharpe ratio

Questions about MultiCharts and user contributed studies.
Adam333
Posts: 20
Joined: 05 Oct 2010

Sharpe ratio

Postby Adam333 » 27 Oct 2010

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

smashthepound
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Re: Sharpe ratio

Postby smashthepound » 28 Oct 2010

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

Adam333
Posts: 20
Joined: 05 Oct 2010

Re: Sharpe ratio

Postby Adam333 » 28 Oct 2010

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

smashthepound
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Re: Sharpe ratio

Postby smashthepound » 28 Oct 2010

Sorry, no idea - I tend to keep it simple ... then it is usually also robust.

regards

Tobias

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Dave Masalov
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Re: Sharpe ratio

Postby Dave Masalov » 29 Oct 2010

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.

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?

Dear Adam,

Unfortunately this is not possible at the moment.


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