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EdL
2013-02-14 15:10:49
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Best Answer
Hi,
I was still convinced that the Sharpe Ratios being produced by QuantShare as a result of my backtests were incorrect. I emailed Support with a spreadsheet including my Sharpe Ratio calculations on the trades that I exported from the QS report after running a backtest. QS was reporting a Sharpe Ratio of 15 and my calculations were giving ratios in the region of 1.
They responded saying that there is indeed a problem in the way they are calculating the Sharpe Ratios and that the resulting numbers are incorrect.
So if you are backtesting using intraday data then ignore the resulting Sharpe Ratios until this is fixed in the next release.
Ed
Please see their email response below:
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Hi Ed,
After investigating this, it appears that a recent optimization update wasn't done properly. In fact the issue comes from the calculation of the Annualized Standard deviation of intraday data. Instead of multiplying the standard deviation of bars by the square root of [Number of day per year] * [Number of bars in a day], the annualized formula uses only [Number of day per year].
Thank you so much for reporting this. It will be fixed in the next release.
Regards,
The QuantShare Team
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