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

To view the implementation of this indicator, see the LEAN GitHub repository.

Using SR Indicator

To create an automatic indicators for SharpeRatio, call the SR helper method from the QCAlgorithm class. The SR method creates a SharpeRatio object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initializeinitialize method.

public class SharpeRatioAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private SharpeRatio _sr;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _sr = SR(_symbol, 22, 0.03);
    }

    public override void OnData(Slice data)
    {
        if (_sr.IsReady)
        {
            // The current value of _sr is represented by itself (_sr)
            // or _sr.Current.Value
            Plot("SharpeRatio", "sr", _sr);
            
        }
    }
}
class SharpeRatioAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._sr = self.sr(self._symbol, 22, 0.03)

    def on_data(self, slice: Slice) -> None:
        if self._sr.is_ready:
            # The current value of self._sr is represented by self._sr.current.value
            self.plot("SharpeRatio", "sr", self._sr.current.value)
            

The following reference table describes the SR method:

sr(symbol, sharpe_period, risk_free_rate=None, resolution=None, selector=None)[source]

Creates a new SharpeRatio indicator.

Parameters:
  • symbol (Symbol) — The symbol whose RSR we want
  • sharpe_period (int) — Period of historical observation for sharpe ratio calculation
  • risk_free_rate (float, optional) —
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The SharpeRatio indicator for the requested symbol over the specified period

Return type:

SharpeRatio

SR(symbol, sharpePeriod, riskFreeRate=None, resolution=None, selector=None)[source]

Creates a new SharpeRatio indicator.

Parameters:
  • symbol (Symbol) — The symbol whose RSR we want
  • sharpePeriod (Int32) — Period of historical observation for sharpe ratio calculation
  • riskFreeRate (decimal, optional) —
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The SharpeRatio indicator for the requested symbol over the specified period

Return type:

SharpeRatio

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.

For more information about plotting indicators, see Plotting 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.

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 Updateupdate method with time/number pair or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.

public class SharpeRatioAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private SharpeRatio _sr;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _sr = new SharpeRatio(22, 0.03);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _sr.Update(bar.EndTime, bar.Close);
        }
   
        if (_sr.IsReady)
        {
            // The current value of _sr is represented by itself (_sr)
            // or _sr.Current.Value
            Plot("SharpeRatio", "sr", _sr);
            
        }
    }
}
class SharpeRatioAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._sr = SharpeRatio(22, 0.03)

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._sr.update(bar.EndTime, bar.Close)
        if self._sr.is_ready:
            # The current value of self._sr is represented by self._sr.current.value
            self.plot("SharpeRatio", "sr", self._sr.current.value)
            

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

public class SharpeRatioAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private SharpeRatio _sr;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _sr = new SharpeRatio(22, 0.03);
        RegisterIndicator(_symbol, _sr, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_sr.IsReady)
        {
            // The current value of _sr is represented by itself (_sr)
            // or _sr.Current.Value
            Plot("SharpeRatio", "sr", _sr);
            
        }
    }
}
class SharpeRatioAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._sr = SharpeRatio(22, 0.03)
        self.register_indicator(self._symbol, self._sr, Resolution.DAILY)

    def on_data(self, slice: Slice) -> None:
        if self._sr.is_ready:
            # The current value of self._sr is represented by self._sr.current.value
            self.plot("SharpeRatio", "sr", self._sr.current.value)
            

The following reference table describes the SharpeRatio constructor:

SharpeRatio

class QuantConnect.Indicators.SharpeRatio[source]

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

get_enumerator()

Returns an enumerator that iterates through the history window.

Return type:

IEnumerator[IndicatorDataPoint]

reset()

Resets this indicator to its initial state

to_detailed_string()

Provides a more detailed string of this indicator in the form of {Name} - {Value}

Return type:

str

update(time, value)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • time (datetime)
  • value (float)
Return type:

bool

update(input)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • input (IBaseData)
Return type:

bool

property consolidators

The data consolidators associated with this indicator if any

Returns:

The data consolidators associated with this indicator if any

Return type:

ISet[IDataConsolidator]

property current

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property is_ready

Returns whether the indicator is properly initialized with data

Returns:

Returns whether the indicator is properly initialized with data

Return type:

bool

property item

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Returns:

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Return type:

IndicatorDataPoint

property name

Gets a name for this indicator

Returns:

Gets a name for this indicator

Return type:

str

property previous

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property samples

Gets the number of samples processed by this indicator

Returns:

Gets the number of samples processed by this indicator

Return type:

int

property warm_up_period

Required period, in data points, for the indicator to be ready and fully initialized.

Returns:

Required period, in data points, for the indicator to be ready and fully initialized.

Return type:

int

property window

A rolling window keeping a history of the indicator values of a given period

Returns:

A rolling window keeping a history of the indicator values of a given period

Return type:

RollingWindow[IndicatorDataPoint]

SharpeRatio

class QuantConnect.Indicators.SharpeRatio[source]

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

GetEnumerator()

Returns an enumerator that iterates through the history window.

Return type:

IEnumerator[IndicatorDataPoint]

Reset()

Resets this indicator to its initial state

ToDetailedString()

Provides a more detailed string of this indicator in the form of {Name} - {Value}

Return type:

String

Update(time, value)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • time (DateTime)
  • value (decimal)
Return type:

Boolean

Update(input)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • input (IBaseData)
Return type:

Boolean

property Consolidators

The data consolidators associated with this indicator if any

Returns:

The data consolidators associated with this indicator if any

Return type:

ISet<IDataConsolidator>

property Current

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property IsReady

Returns whether the indicator is properly initialized with data

Returns:

Returns whether the indicator is properly initialized with data

Return type:

bool

property Name

Gets a name for this indicator

Returns:

Gets a name for this indicator

Return type:

string

property Previous

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property Samples

Gets the number of samples processed by this indicator

Returns:

Gets the number of samples processed by this indicator

Return type:

int

property WarmUpPeriod

Required period, in data points, for the indicator to be ready and fully initialized.

Returns:

Required period, in data points, for the indicator to be ready and fully initialized.

Return type:

Int32

property Window

A rolling window keeping a history of the indicator values of a given period

Returns:

A rolling window keeping a history of the indicator values of a given period

Return type:

RollingWindow<IndicatorDataPoint>

property [System.Int32]

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Returns:

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Return type:

IndicatorDataPoint

Visualization

The following image shows plot values of selected properties of SharpeRatio using the plotly library.

SharpeRatio line plot.

Indicator History

To get the historical data of the SharpeRatio indicator, call the IndicatorHistoryself.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription.

public class SharpeRatioAlgorithm : QCAlgorithm
{
    private Symbol _symbol;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        var sr = SR(_symbol, 22, 0.03);
        var countIndicatorHistory = IndicatorHistory(sr, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(sr, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(sr, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class SharpeRatioAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        sr = self.sr(self._symbol, 22, 0.03)
        count_indicator_history = self.indicator_history(sr, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(sr, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(sr, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)

To make the IndicatorHistoryindicator_history method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector argument.

var indicatorHistory = IndicatorHistory(sr, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(sr, 100, Resolution.MINUTE, lambda bar: bar.high)
indicator_history_df = indicator_history.data_frame

If you already have a list of Slice objects, you can pass them to the IndicatorHistoryindicator_history method to avoid the internal history request.

var history = History(_symbol, 100, Resolution.Minute);
var historyIndicatorHistory = IndicatorHistory(sr, history);

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