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.
Este ejercicio forma parte del curso
Financial Trading in R
Instrucciones del ejercicio
- 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.
Ejercicio interactivo práctico
Prueba este ejercicio y completa el código de muestra.
# Get instrument returns
instrets <- PortfReturns(___)
# Compute Sharpe ratio from returns
SharpeRatio.annualized(___, geometric = FALSE)