Supported Indicators

Sharpe Ratio

Introduction

Calculation of the Sharpe Ratio (SR) developed by William F. Sharpe. Reference: https://www.investopedia.com/articles/07/sharpe_ratio.asp Formula: S(x) = (Rx - Rf) / stdDev(Rx) Where: S(x) - sharpe ratio of x Rx - average rate of return for x Rf - risk-free rate

Create Manual Indicators

You can manually create a SharpeRatio indicator, so it doesn’t automatically update. Manual indicators let you update their values with any data you choose. The following reference table describes the SharpeRatio constructor.

SharpeRatio()1/2

            SharpeRatio QuantConnect.Indicators.SharpeRatio (
     string    name,
     int       period,
     *decimal  riskFreeRate
   )
        

Creates a new Sharpe Ratio indicator using the specified periods.

SharpeRatio()2/2

            SharpeRatio QuantConnect.Indicators.SharpeRatio (
     int       period,
     *decimal  riskFreeRate
   )
        

Creates a new SharpeRatio indicator using the specified periods.

Update Manual Indicators

You can update the indicator automatically or manually.

Automatic Update

To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.


private SharpeRatio _sr;

// In Initialize()
_sr = new SharpeRatio(name, period);
_sr.Updated += IndicatorUpdateMethod;

RegisterIndicator(symbol, _sr, Resolution.Daily);

// In IndicatorUpdateMethod()
if (_sr.IsReady)
{
    var indicatorValue = _sr.Current.Value;
}
    
# In Initialize()
self.sr = SharpeRatio(name, period)
self.sr.Updated += self.IndicatorUpdateMethod

self.RegisterIndicator(symbol, self.sr, Resolution.Daily)

# In IndicatorUpdateMethod()
if self.sr.IsReady:
    indicator_value = self.sr.Current.Value

To customize the data that automatically updates the indicator, see Custom Indicator Periods and Custom Indicator Values.

Manual Update

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update method with time/decimal pair. The indicator will only be ready after you prime it with enough data.

    
private SharpeRatio _sr;
private Symbol symbol;

// In Initialize()
_sr = new SharpeRatio(period);
symbol = AddEquity("SPY").Symbol;

// In OnData()
if (data.ContainsKey(_symbol))
{
    _sr.Update(data[symbol].EndTime, data[symbol].High);
}
if (_sr.IsReady)
{
    var indicatorValue = _sr.Current.Value;
}
    
# In Initialize()
self.sr = SharpeRatio(period)
self.symbol = self.AddEquity("SPY").Symbol

# In OnData()
if data.ContainsKey(self.symbol):
    self.sr.Update(data[self.symbol].EndTime, data[self.symbol].High)
if self.sr.IsReady:
    indicator_value = self.sr.Current.Value

Create Automatic Indicators

The SR method creates an SharpeRatio indicator, sets up a consolidator to update the indicator, and then returns the indicator so you can use it in your algorithm.

The following reference table describes the SR method:

SR()1/1

            SharpeRatio QuantConnect.Algorithm.QCAlgorithm.SR (
    Symbol                           symbol,
    Int32                            sharpePeriod,
    *Decimal                         riskFreeRate,
    *Nullable<Resolution>      resolution,
    *Func<IBaseData, Decimal>  selector
   )
        

Creates a new RollingSharpeRatio indicator.


If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.

For more information about the selector argument, see Alternative Price Fields.

Get Indicator Values

To get the value of the indicator, use its Current.Value attribute.

private SharpeRatio _sr;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_sr = SR(symbol, sharpePeriod);

// In OnData()
if (_sr.IsReady)
{
    var current = _sr.Current.Value;
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.sr = self.SR(symbol, sharpePeriod)

# In OnData()
if self.sr.IsReady:
    current = self.sr.Current.Value

Visualization

To plot indicator values, in the OnData event handler, call the Plot method.

private SharpeRatio _sr;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_sr = SR(symbol, sharpePeriod);

// In OnData()
if (_sr.IsReady)
{
    Plot("My Indicators", "sharperatio", _sr.Current);
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.sr = self.SR(symbol, sharpePeriod)

# In OnData()
if self.sr.IsReady:
    self.Plot("My Indicators", "sharperatio", self.sr.Current)

The following image shows the plot values in a matplotlib plot. To load algorithm plot data into the Research Environment, see Charts.

For more information about plotting indicators, see Plotting Indicators.

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