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In the Ranking Log results, you list the Sharpe and Alt. Sharpe columns. Is there a secret sauce to your Sharpe formula? I have tried to figure out how you get the Sharpe values and cant even get close. You state Sharpe = daily return / std dev of daily return…. the numbers on the log are not even close… EBAY for example has a sharpe ratio of 25.991 as of May 29. 2020 which is WAY higher than any result i come up with calculating it manually….. I assume you have a “propriatary” component in the Sharpe calculation?
thanks
The Sharpe in the ranking log is using an annualized performance. So if EBAY had a 9.481% performance for the 16 trading days, this would sum up to 316% for the 252 annual trading days (=1.09481^(252/16)-1). The 18.846 Sharpe is 316 divided by volatility. As we use this only for a ranking we would in fact not have to annualize. The ranking would be the same but annualized you can compare it better to other Sharpe values. It is clear that we get extremely high Sharpe values if a stock performs nearly 10% in 16 days.
Finally, we do not rank directly by this Sharpe, but by the attenuated Sharpe which can give a higher weight to the volatility. This Attn Sharpe is only used internally to rank the stocks.
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