MultiCharts 7.4 backtester include Sharpe Ratio?

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ericvp
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MultiCharts 7.4 backtester include Sharpe Ratio?

Postby ericvp » 13 Feb 2012

Hi,

When looking at the Portfolio Backtester > Portfolio Performance Report > Strategy Analysis > Performance Ratios, I only see "Portfolio Net Profit as % of Max Portfolio Drawdown" listed. I don't see a way to add other performance ratios, such as Sharpe Ratio. Is there a way to turn this on, or is this a bug in 7.4? (I've seen it in previous versions.)

Thanks,
Eric

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Henry MultiСharts
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Re: MultiCharts 7.4 backtester include Sharpe Ratio?

Postby Henry MultiСharts » 14 Feb 2012

Hello Eric,

You can find Sharpe ratio as well as other ratios in Breakdown by Symbols section of Portfolio Performance Report.

ericvp
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Re: MultiCharts 7.4 backtester include Sharpe Ratio?

Postby ericvp » 14 Feb 2012

Hi Henry,

Thanks for your response.

I should have been more explicit in my question. I am interested in the Sharpe Ratio for the portfolio I am backtesting, not the individual instruments. There are over 100 instruments in my portfolio -- over any given period of time, some of those end up being winners, some losers -- I am interested in the Sharpe Ratio of the whole portfolio.

I saw an online video where the Strategy Analysis > Performance Ratios section had a large number of ratios, including Sharpe Ratio. This would seem to be want I'm looking for.

Thanks,
Eric

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Henry MultiСharts
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Re: MultiCharts 7.4 backtester include Sharpe Ratio?

Postby Henry MultiСharts » 15 Feb 2012

Hello Eric,

Unfortunately Sharpe ratio is not available for the portfolio of symbols.
Portfolio consists of different symbols with different price levels and the strategy can be long on one symbol and short on the other at the same time. Therefore, it is not feasible to calculate some ratios. You can find them in Breakdown by Symbols section of Portfolio Performance Report.

ericvp
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Re: MultiCharts 7.4 backtester include Sharpe Ratio?

Postby ericvp » 15 Feb 2012

Hi Henry,

Thanks for the definitive response.

I beg to differ on the assertion that Sharpe Ratio can't be calculated for a portfolio. The sequence of periodic returns for the whole portfolio is all you need to calculate the Sharpe Ratio. After all, Bill Sharpe invented the Sharpe Ratio as a figure of merit for portfolio performance when you don't know what is in the portfolio: http://www.stanford.edu/~wfsharpe/art/sr/sr.htm

One need only take the whole portfolio net asset value on a set time period (I use monthly), and use that to calculate the sequence of returns. I've successfully implemented this in MultiCharts by writing out the end of month portfolio net asset value to a file. After the portfolio backtester completes, I process this file with a simple Excel Macro to do the calculations outlined above. Basically, doing the following each month:
P_NAV = InitialCapital + Portfolio_NetProfit + Portfolio_OpenPositionProfit ;
If month(date[0]) <> month(date[1]) then FileAppend("C:\monthly.csv", ELDateToString ( D[1] ) +"," + NumToStr ( P_NAV,4 ) + NewLine );

Of course, my approach is a pain because of the manual post-processing, and runs the risk that I haven't understood some aspect of MultiCharts correctly, which is why I was hoping MC had this capability natively.

Thanks,
Eric

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Henry MultiСharts
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Re: MultiCharts 7.4 backtester include Sharpe Ratio?

Postby Henry MultiСharts » 22 Feb 2012

Hello Eric,

Thank you for sharing your experience.
If you would like such functionality to be added in the future - you can submit a feature request to the Project Management of our web site so other users can vote for it: https://www.multicharts.com/pm/

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Re: MultiCharts 7.4 backtester include Sharpe Ratio?

Postby EdL » 28 Feb 2013

I couldn't agree more Eric! I'm using 8.5 beta and have recently moved from backtesting a single instrument strategy to the Portfolio Backtester and was shocked to see that the Sharpe Ratio is missing in Portfolio Backtester > Portfolio Performance Report > Strategy Analysis > Performance Ratios.

Sharpe ratio is THE industry standard way to measure portfolio returns per unit of risk. The other ratios are common too, but Sharpe should be in there as a minimum. If you want to compare your portfolio to others or you need to approach potential investors, the first thing they will want to see is the Sharpe ratio of the portfolio!

What would be even better is if we had a choice of Daily or Monthly Sharpes (both annualised) and could switch between this in the portfolio or system settings. (This goes for the standard non-portfolio backtest performance report too).

I could not find a feature request in the Project Management section, so I have added one in there.

Please vote for it!

https://www.multicharts.com/pm/viewissue ... no=MC-1255
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