+1 888 340 6572 GET STARTED
MultiCharts Project Management
previous_open_issue.png
Go to the previous open issue
previous_issue.png
Go to the previous issue (open or closed)
star_faded.png
Please log in to bookmark issues
feature_request_small.png
Closed Feature request MC-1255

Portfolio Performance Report to include portfolio Sharpe ratio
action_vote_minus_faded.png
3
Votes
 action_vote_plus_faded.png
next_issue.png
Go to the next issue (open or closed)
next_open_issue.png
Go to the next open issue
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 (0)
icon-mono-settings.png
There are no comments
History
sidebar_collapse.png sidebar_expand.png
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    MultiCharts 9.1 (RELEASED)
  • Status
    Released
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (2)
People involved
  • Posted by
    user-offline.png EdL (EdL)
  • Owned by
    Not owned by anyone
  • Assigned to
    Not assigned to anyone
  • Subscribers
    1 subscriber(s)
    Click here to show the list of subscribers
Times and dates
  • Posted at
  • Last updated
Issue details
  • Resolution
    Not determined
  • Severity
    Critical
Attachments (0)
There is nothing attached to this issue
Commits (0)
There are no code checkins for this issue
Duplicate issues (0)
This issue does not have any duplicates