Sharpe ratio in Report

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jorge cogno
jorge cogno on 17 Feb 2024
Edited: William Rose on 17 Feb 2024
In the example runBackTest for RiskFreeRate=0 TotalReturn=0.22943, SharpeRatio=0.11415 and Volatility=0.0075013 are reported. I don't see how this SharpeRatio is calculated, would you please explain? Thanks

Answers (1)

William Rose
William Rose on 17 Feb 2024
Edited: William Rose on 17 Feb 2024
[edit: the 0 in the equation below is for the risk free rate]
"RiskFreeRate=0 TotalReturn=0.22943, SharpeRatio=0.11415 and Volatility=0.0075013"
For that example, the average return is 0.00085456.
So you do
(.00085456-0)/.0075013
ans = 0.1139
Pretty close, maybe some rounding issues.

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