【SharpeRatio】 - 龙听期货论坛

Input:
Period(NumericSimple), {0=monthly, 1=daily}
IntRate(NumericSimple), {interest rate}
CalculateRatio(TrueFalseSimple), {final calculation}
InitCapital(NumericSimple); {initial capital}
array: periods_returns[](0), periods_return_percent[](0);
var: intrabarpersist last_idx(0);
var: new_periods(0);
new_periods = 0;
var: recalcpersist int_rate_per_period(12);
once begin
switch (Period) begin
case 0 : int_rate_per_period = IntRate / 12 / 100;
case 1 : int_rate_per_period = IntRate / 365 / 100;
end;
end;
var: intrabarpersist start(False);
once (0 <> i_CurrentContracts or 0 <> i_OpenEquity) start = true;
if not start then
#return;
switch (Period) begin
case 0 : begin
new_periods = MonthsCount;
end;
case 1 : begin
new_periods = DaysCount;
end;
end;
var: intrabarpersist prev_equity(0);
var: Equity(0);
Equity = i_OpenEquity;
if 0 < new_periods then begin
array_setmaxindex(periods_returns, last_idx + new_periods);
periods_returns[last_idx + 1] = Equity[1] - prev_equity;
for value1 = 2 to new_periods - 1 begin
periods_returns[last_idx + value1] = 0;
end;
last_idx += new_periods;
prev_equity = Equity[1];
end;
var: intrabarpersist calculated(False);
if CalculateRatio and not calculated then begin
once calculated = True;
if 0 = new_periods and 0 <> i_MarketPosition then begin
last_idx += 1;
array_setmaxindex(periods_returns, last_idx);
periods_returns[last_idx] = Equity - prev_equity;
end;
RemoveLastZeros(periods_returns, last_idx);
array_setmaxindex(periods_return_percent, last_idx);
CummRatio(periods_returns, periods_return_percent, last_idx, InitCapital);
var: AvgReturnPercent(0), ReturnStdDev(0);
AvgReturnPercent = AverageArray( periods_return_percent, last_idx );
ReturnStdDev= StandardDevArray( periods_return_percent, last_idx, 0 );
if 0 <> ReturnStdDev then
SharpeRatio = (AvgReturnPercent- int_rate_per_period) / ReturnStdDev;
end;

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