Dual momentum Sharpe Ratio

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  • #235738 quote
    Marcfarm
    Participant
    New
    Timeframe(Monthly)
    c1 = ROC[12](close) > 0
    c2 = ROC[3](close)
    Timeframe(default)
    SCREENER[c1](c2 AS "Dual Momentum")

    Buongiorno  questo screener mi va a selezionare (dato un paniere di ETF azionari) quelli che hanno avuto una Var%12M maggiore di zero (Absolute momentum) e me li ordina per la miglior Var%3M (Relative Momentum).

    E’ possibile sostituire la var% sia a 12 mesi che a 3 mesi (ROC) con lo Sharpe Ratio in modo da tener conto anche della volatilità dei singoli ETF?

    Lo screener dovrebbe filtrare quelli con uno Sharpe Ratio 12 mesi>0 e poi ordinarli per Sharpe ratio 3 mesi.

    #235745 quote
    Iván González
    Moderator
    Master

    Ciao. Eccolo qui:

    timeframe(Monthly)
    length1=12
    length2=3
    
    MonthlyReturns = close / close[1] - 1
    //-----------------------------------------------//
    // Sharpe Ratio 12 months
    meanReturn12M = Average[length1](MonthlyReturns)
    stdDev12M = Std[length1](MonthlyReturns)
    sharpeRatio12M = meanReturn12M / stdDev12M
    //-----------------------------------------------//
    // Sharpe Ratio 3 months
    meanReturn3M = Average[length2](MonthlyReturns)
    stdDev3M = Std[length2](MonthlyReturns)
    sharpeRatio3M = meanReturn3M / stdDev3M
    //-----------------------------------------------//
    //-----------------------------------------------//
    SCREENER[sharpeRatio12M > 0](sharpeRatio3M as "sharpe 3M")
    #235776 quote
    Marcfarm
    Participant
    New

    Perfetto. Grazie

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Dual momentum Sharpe Ratio


ProScreener: Scansione Mercati & Screener

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Marcfarm @marcfarm Participant
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This topic contains 2 replies,
has 2 voices, and was last updated by Marcfarm
1 year, 7 months ago.

Topic Details
Forum: ProScreener: Scansione Mercati & Screener
Language: Italian
Started: 07/24/2024
Status: Active
Attachments: No files
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