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 Initialize 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.AddEquity("SPY", Resolution.Daily).Symbol
self.sr = self.SR(self.symbol, 22, 0.03)
def OnData(self, slice: Slice) -> None:
if self.sr.IsReady:
# 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()1/1
SharpeRatio QuantConnect.Algorithm.QCAlgorithm.SR (
Symbol symbol,
Int32 sharpePeriod,
*Nullable<Decimal> riskFreeRate,
*Nullable<Resolution> resolution,
*Func<IBaseData, Decimal> selector
)
Creates a new SharpeRatio 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.
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 Update 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.TryGeValue(_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.AddEquity("SPY", Resolution.Daily).Symbol
self.sr = SharpeRatio(22, 0.03)
def OnData(self, slice: Slice) -> None:
bar = slice.Bars.get(self.symbol)
if bar:
self.sr.Update(bar.EndTime, bar.Close)
if self.sr.IsReady:
# 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 RegisterIndicator 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.AddEquity("SPY", Resolution.Daily).Symbol
self.sr = SharpeRatio(22, 0.03)
self.RegisterIndicator(self.symbol, self.sr, Resolution.Daily)
def OnData(self, slice: Slice) -> None:
if self.sr.IsReady:
# 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()1/6
SharpeRatio QuantConnect.Indicators.SharpeRatio (
string name,
int period,
IRiskFreeInterestRateModel riskFreeRateModel
)
Creates a new Sharpe Ratio indicator using the specified periods.
SharpeRatio()2/6
SharpeRatio QuantConnect.Indicators.SharpeRatio (
int period,
IRiskFreeInterestRateModel riskFreeRateModel
)
Creates a new Sharpe Ratio indicator using the specified periods.
SharpeRatio()3/6
SharpeRatio QuantConnect.Indicators.SharpeRatio (
int period,
PyObject riskFreeRateModel
)
Creates a new Sharpe Ratio indicator using the specified period using a Python risk free rate model.
SharpeRatio()4/6
SharpeRatio QuantConnect.Indicators.SharpeRatio (
int period,
PyObject riskFreeRateModel
)
Creates a new Sharpe Ratio indicator using the specified period using a Python risk free rate model.
SharpeRatio()5/6
SharpeRatio QuantConnect.Indicators.SharpeRatio (
string name,
int period,
*decimal riskFreeRate
)
Creates a new Sharpe Ratio indicator using the specified periods.
SharpeRatio()6/6
SharpeRatio QuantConnect.Indicators.SharpeRatio (
int period,
*decimal riskFreeRate
)
Creates a new SharpeRatio indicator using the specified periods.
Visualization
The following image shows plot values of selected properties of SharpeRatio using the plotly library.
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