ComeçarComece de graça

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.

Este exercício faz parte do curso

Financial Trading in Python

Ver curso

Instruções do exercício

  • 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.

Exercício interativo prático

Experimente este exercício completando este código de exemplo.

# Get annual return and volatility
yearly_return = ____
print('Annual return: %.2f'% yearly_return)
yearly_vol = ____
print('Annual volatility: %.2f'% yearly_vol)

# Calculate the Sharpe ratio manually
sharpe_ratio = ____ / ____
print('Sharpe ratio calculated: %.2f'% sharpe_ratio)

# Print the Sharpe ratio
print('Sharpe ratio %.2f'% ____)
Editar e executar o código