Hi,

Thanks for helping me!

I am reading

 https://github.com/QuantConnect/Lean/blob/6af20c3d8a5713ef1e58ae924e05cde0a5fff8fd/Common/Statistics/Statistics.cs

and try to write annualized sharpe ratio in python.

1. calculate daily performance

2. calculate annual performance rate and standard deviation

3. get one year US treasury yield curve rate

 

But the sharpe ratio I get in (Log) is 1/2 of the one in Overview (12 months). Can someone help me to improve my sharpe ratio calculation?  Thank you so much!

 

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