Session Ready
Exercise

Evaluate strategy performance by Sharpe ratio

The Sharpe ratio is a risk-adjusted return measure developed by Nobel laureate William F. Sharpe. It is calculated as the average return over the risk-free rate divided by the standard deviation of the excess return.

You will calculate and review the Sharpe ratio of a signal-based strategy. The strategy generates long or short signals using two moving average indicators, and has been backtested using the 3-year historical price data of the Google stock. The backtest statistics has been provided in resInfo.

Instructions
100 XP
  • Get annual return and volatility from resInfo and save them in yearly_mean and yearly_vol respectively.
  • Calculate the Sharpe ratio manually using yearly_return and yearly_vol.
  • Print the annualized Sharpe ratio directly obtained from resInfo.
Loading