Returns Sharpe ratio in quantstrat
One of the main reasons to include an initial equity (in this case, initeq, which is set to 100,000) in your strategy is to be able to work with returns, which are based off of your profit and loss over your initial equity.
While you just computed a cash Sharpe ratio in the previous exercise, you will see in this exercise that quantstrat can also compute the standard returns-based Sharpe ratio as well.
This exercise is part of the course
Financial Trading in R
Exercise instructions
- Use
PortfReturns()on our portfolio strategyportfolio.stto get the instrument returns. - Compute the annualized Sharpe ratio using the instrument returns computed in the previous step.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Get instrument returns
instrets <- PortfReturns(___)
# Compute Sharpe ratio from returns
SharpeRatio.annualized(___, geometric = FALSE)