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Hi QC Community
Sharpe Ratio is one of the golden standard benchmarks to track an asset/a portfolio's risk-adjusted return. In this post, we're showing an example of how to add this measure into your algorithm.
- Create a SharpeRatio indicator
- Create a RollingWindow to store the SR indicator values.
- Call .Updated to set up an indicator update handler to update the RollingWindow when an indicator data point is received.
- Create a scheduled event every day to update the indicator with time and the end-of-day portfolio value/assets' price. This new data point update will elicit the update handler to run.
Best
Louis
.ekz.
Great stuff Louis Szeto. Â Thanks for this.
While on the topic of additional performance metrics/indicators: if you ever have the time, do you think you could tackle a chart that shows log returns? Â
Charting log returns next to the equity curve would be very valuable, especially when dealing with parabolic price action like crypto. Â I may take this on some day, i just don't have the time! Â Â
Varad Kabade
Hi .ekz!
We do have a Log Return indicator. Simply replace the Sharpe Ratio indicator with the Log Return one shall do the trick!
https://www.quantconnect.com/docs/v2/writing-algorithms/indicators/indicator-reference/log-return
Best,
Varad Kabade
.ekz.
Brilliant. Thanks Varad Kabade !
Louis Szeto
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