Stock screener Sharp Value

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  • 09/23/2018 at 11:08 PM #81140 quote
    Abz
    Participant
    Veteran

    Hello

    attached is a stock screener posted by Gabri. I am monitoring 25 stocks with this screener and want to know the sharp value on certain historical dates is it a easy way modify this screener code to get that ? or do i need to use it as a indicatior then i need to check it on every stock and a list view in screener windows is much more appreciated.

     

     

    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)
    09/24/2018 at 12:22 AM #81141 quote
    robertogozzi
    Moderator
    Master

    Screeners cannot scan past data, so you’ll have to use it as an indicator, changing dates as they suit you best (not tested):

    periodo=254
RitMensNoRiskTitle=0
IF date >= 20150101 AND date <= 20150331 THEN     //dates Jan.1st, 2015 - march 31st,2015
   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)
else
   sharpe=0
return Sharpe
    09/24/2018 at 9:38 AM #81165 quote
    Nicolas
    Keymaster
    Master

    Do you want to get the ‘sharpe’ values of a very specific date or just the one from X bars ago from now (today)?

    09/24/2018 at 12:46 PM #81180 quote
    Abz
    Participant
    Veteran

    X bars woud also work for me .

    09/24/2018 at 1:51 PM #81194 quote
    Nicolas
    Keymaster
    Master

    Ok, so let’s introduce a X setting and screen Sharpe variable within this offset in the past:

    periodo=254
X = 10

periodo=periodo-X
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)

screener (sharpe[x])
    09/24/2018 at 7:51 PM #81240 quote
    Abz
    Participant
    Veteran

    i tested i out on 35 bars and screener says 7.44 in value and indicator says 10.96 any idea on why it is different?

    09/25/2018 at 7:24 AM #81253 quote
    Nicolas
    Keymaster
    Master

    Because original code used 254 bars of history for the calculation (data limit for ProScreener), I changed the way it is calculated by the subtracting the desired lookback of 254.

    Just found that I made an error too:

    periodo=254
X = 10

periodo=periodo-X
RitMensNoRiskTitle=0
a=log(close/close[1])
b=summation[periodo](a)
s=sqrt(periodo)*std[periodo](a)

//computation of modified Sharpe index
sharpe=(b-RitMensNoRiskTitle/100)/(s*s)

screener (sharpe[x])
    Abz thanked this post
    05/03/2019 at 12:48 AM #97590 quote
    Abz
    Participant
    Veteran

    Hello

     

    is it possible to write the sharpe value on every 7 candlestick? it will be easy to read the value for each instrument

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Stock screener Sharp Value


ProScreener: Market Scanners & Detection

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Abz @abbas_sadiq Participant
Summary

This topic contains 7 replies,
has 3 voices, and was last updated by Abz
6 years, 10 months ago.

Topic Details
Forum: ProScreener: Market Scanners & Detection
Language: English
Started: 09/23/2018
Status: Active
Attachments: No files
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