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SCREENER SHARPE RATIO

guillermus69 · 2018-05-05T01:09:29+00:00

Queriendo desarrollar un screener para mostrar los sharpes ratios de una lista de acciones econtré el siguiente código en la web : //computation of return and volatility on annual bases periodo=254 RitMensNoRiskTitle=0 a=log(close/close[1]) b=summation[periodo](a) s=sqrt(254)*std[periodo](a) //computation of modified Sharpe index sharpe=(b-RitMensNoRiskTitle/100)/(s*s) //launch of screener c1 = (sharpe > 0) SCREENER[c1] (sharpe AS "SHARPE index") Mi duda es respecto a la volatilidad. Con ese código se esta calculando la desviación típica de los retornos porcentuales diarios? yo pondría: a = ((close/close[1]) – 1 ) * 100 // retorno diario porcentual volatilidad = std[200](a) Con las 2 lineas anteriores , se estaría calculando la desviación de los retornos diarios de los 200 días ? multiplicando la volatilidad por la raiz de 252 ya tendríamos la volatilidad anualizada no? Gracias

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ProScreener: Buscadores de Mercado y Rastreo
SCREENER SHARPE RATIO

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05/05/2018 at 2:09 AM #69807 quote
guillermus69
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Queriendo desarrollar un screener para mostrar los sharpes ratios de una lista de acciones econtré el siguiente código en la web :
```
//computation of return and volatility on annual bases
periodo=254
RitMensNoRiskTitle=0
a=log(close/close[1])
b=summation[periodo](a)
s=sqrt(254)*std[periodo](a)
 
//computation of modified Sharpe index
sharpe=(b-RitMensNoRiskTitle/100)/(s*s)
 
//launch of screener
 
c1 = (sharpe > 0)
 
 
SCREENER[c1] (sharpe AS "SHARPE index")
```
Mi duda es respecto a la volatilidad. Con ese código se esta calculando la desviación típica de los retornos porcentuales diarios?

yo pondría:

a = ((close/close[1]) – 1 ) * 100 // retorno diario porcentual

volatilidad = std[200](a)

Con las 2 lineas anteriores , se estaría calculando la desviación de los retornos diarios de los 200 días ? multiplicando la volatilidad por la raiz de 252 ya tendríamos la volatilidad anualizada no?

Gracias
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SCREENER SHARPE RATIO

ProScreener: Buscadores de Mercado y Rastreo

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Topic Details

Forum:	ProScreener: Buscadores de Mercado y Rastreo
Language:	Spanish
Started:	05/05/2018
Status:	Active
Attachments:	No files

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SCREENER SHARPE RATIO

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SCREENER SHARPE RATIO ProScreener: Buscadores de Mercado y Rastreo

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SCREENER SHARPE RATIO

ProScreener: Buscadores de Mercado y Rastreo