Modified SHARPE index

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Modified SHARPE index

Postby isamegrelo » Thu Jul 19, 2018 5:35 pm

This is code:


RitMensNoRiskTitle=0
a=log(close/close[1])
b=summation[periodo](a)
s=sqrt(254)*std[periodo](a)

//calcolo indice di sharpe
sharpe=(b-RitMensNoRiskTitle/100)/(s*s)


return sharpe as "SHARPE index",0
isamegrelo
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Re: Modified SHARPE index

Postby Apprentice » Fri Jul 20, 2018 5:50 am

Try this version.
viewtopic.php?f=17&t=66288
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Apprentice
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