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Closed Feature request MC-1255

Portfolio Performance Report to include portfolio Sharpe ratio

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icon_info.png This issue has been closed with status "Released" and resolution "Not determined".
Description

The Portfolio backtest performance report does not show the Sharpe ratio for the portfolio as a whole.

Portfolio Backtester > Portfolio Performance Report > Strategy Analysis > Performance Ratios

Only "Portfolio Net Profit as % of Max Portfolio Drawdown" is shown. The industry standard for measuring the risk reward of a portfolio is the Sharpe ratio and I'm very surprised this is not present.

Please could you consider adding this ASAP as it is a minor addition that would make a whole lot of difference.

Ideally the other ratios should also be present but Sharpe is the most important.

What would be even better is if the user could choose between daily (annualised) and monthly (annualised) Sharpe ratios via either the portfolio settings or system settings. Daily or Monthly are more suitable depending on the frequency you trade and length of backtest period so you should really be able to choose between the two.

Please see forum discussion http://www.multicharts.com/discussion/viewtopic.php?f=1&t=9947

Steps to reproduce this issue

Portfolio Backtester > Portfolio Performance Report > Strategy Analysis > Performance Ratios

Only "Portfolio Net Profit as % of Max Portfolio Drawdown" is shown. Sharpe ratio and other ratios are not shown!

Comments (1)
#0
user-offline.png  Guest (Guest)
Dec 19, 2014 - 13:11

This is extremely important and I am truly surprised that MC has not included _at least _this very important metric...

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    MultiCharts 9.1 (RELEASED)
  • Status
    Released
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  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
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  • Posted by
    user-offline.png  EdL (EdL)
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Issue details
  • Resolution
    Not determined
  • Severity
    Critical
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