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- rfm12Participant
I found what may be the reason. On ETFreplay, I was using buy-and-hold strategy. If it’s rebalanced monthly, as the UIS strategy is, the Sharpe ratio may be higher. I can’t test that, because it’s available only with a subscription, but I expect that’s it.
rfm12Participant[For some reason, this keeps appearing above earlier replies. Not sure why.]
How are you calculating the Sharpe ratio? I was looking at your sample strategy signal, which shows it as of 12/31/14 (presumably from 10/2/14, 3 months or 63 trading days):
SPY = 3.1, TLT = 4.4
However, ETFreplay’s backtesting tool shows the Sharpe ratios as:
SPY = 1.8, TLT = 3.0
If I use the standard calculation, I get the same as ETFreplay:
[(avg. daily return – risk-free rate)/std. dev. of avg. daily return] * sq rt of 252
from Oct 2 through Dec 31, with a risk-free rate of 0 (which I think you said you use):
SPY: [(0.13% – 0)/0.71%] * 15.9 = 1.8
TLT = [(0.10% – 0)/0.88%] * 15.9 = 2.9
Thanks.
rfm12Participant[Deleted]
rfm12ParticipantI’d be interested to know about this too, if someone there could fill us in.
Thanks.
rfm12ParticipantGreat job on this workbook. Couple of things:
If I refresh the quotes, I get #NAME? in the Volatility and Sharpe Ratio columns. (It’s already at the bottom of those two columns when I open the workbook.)
Also, when I open it, I get a message: “Solver installed. This workbook will work properly.” Any idea how to prevent that from appearing?
rfm12ParticipantHi,
In looking at the Return figures in the second table above, they seem to be substantially different from the ones on the individual strategy pages. For example, according to the table, the return for MYRS is 1957%, but according to the MYRS strategy page, it’s 488% since inception. In the table, GMRS is 954%, but on the GMRS page, it’s 4151%. In the table, GSRlv is 480%, but on the GSRlv page, it’s 395%. (I didn’t look at the others.) Could you clarify?
Thanks,
Ray Martin - AuthorPosts