sharpe_ratio: Calculate a strategy's Sharpe ratio

In jonaselm/fluxcapacitor: A Quantitative Backtesting Engine

Description

The Sharpe ratio use used to measure risk-adjusted return. This function also implements a naive form of scaling. For instance, for daily periodicity, using 252 as the scaling factor will annualize the result. Note that per Andrew Lo's 2003 paper The Statistics of Sharpe Ratios, this method is not recommended on its own except under very special circumstances.

Usage

sharpe_ratio(strategy_object, risk_free = 0, scale = 1)

Arguments

strategy_object	a strategy object
risk_free	the risk-free rate, either numeric or a vector with the same periodicity as the strategy object's ledger.
scale	a scaling factor.

Value

a tibble contaning the strategy's Sharpe ratio.

jonaselm/fluxcapacitor documentation built on May 16, 2019, 2:53 a.m.