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hmsb4494 81 posts msg #120242 - Ignore hmsb4494	5/29/2014 6:21:23 PM Any coding ideas for the 3 month average of the 1 month sharpe ratio---I cannot make the numbers work out
Kevin_in_GA 4,599 posts msg #120244 - Ignore Kevin_in_GA	5/29/2014 8:41:04 PM Fetcher[ /STEP 1: Determine sharpe ratio for the last month (21 trading days)/ SET{performance, roc(21,1)} SET{STD, CSTDDEV(CLOSE,21)} SET{Volatility, STD / MA(21)} SET{VOL, Volatility * 100} SET{SHARPE, performance / VOL} /STEP 2: Calculate the 3 month average of the 1 month sharpe ratio/ set{averagesharpe, cma(sharpe,63)} add column averagesharpe ] Note that this does not use the annualized Sharpe - for such a short time you can use either with the same ranking result (to annualize this for the purist, multiply by the square root of 12, or 3.46).
hmsb4494 81 posts msg #120257 - Ignore hmsb4494	5/30/2014 8:25:41 AM Thanks Kevin---this is exactly what I was looking for.

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