Calculation of the Sharpe Ratio (SR) developed by William F. Sharpe. More...

Inheritance diagram for QuantConnect.Indicators.SharpeRatio:

Public Member Functions
	SharpeRatio (string name, int period, IRiskFreeInterestRateModel riskFreeRateModel)
	Creates a new Sharpe Ratio indicator using the specified periods More...

	SharpeRatio (int period, IRiskFreeInterestRateModel riskFreeRateModel)
	Creates a new Sharpe Ratio indicator using the specified periods More...

	SharpeRatio (string name, int period, PyObject riskFreeRateModel)
	Creates a new Sharpe Ratio indicator using the specified period using a Python risk free rate model More...

	SharpeRatio (int period, PyObject riskFreeRateModel)
	Creates a new Sharpe Ratio indicator using the specified period using a Python risk free rate model More...

	SharpeRatio (string name, int period, decimal riskFreeRate=0.0m)
	Creates a new Sharpe Ratio indicator using the specified periods More...

	SharpeRatio (int period, decimal riskFreeRate=0.0m)
	Creates a new SharpeRatio indicator using the specified periods More...

override void	Reset ()
	Resets this indicator to its initial state More...

Public Attributes
override bool	IsReady => Ratio.Samples > _period
	Returns whether the indicator is properly initialized with data More...

Protected Member Functions
override decimal	ComputeNextValue (IndicatorDataPoint input)
	Computes the next value for this indicator from the given state. More...

Properties
RateOfChange	RateOfChange `[get]`
	RateOfChange indicator for calculating the sharpe ratio More...

Identity	RiskFreeRate `[get]`
	RiskFreeRate indicator for calculating the sharpe ratio More...

IndicatorBase	Ratio `[get, set]`
	Indicator to store the calculation of the sharpe ratio More...

IndicatorBase	Numerator `[get]`
	Indicator to store the numerator of the Sharpe ratio calculation More...

int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Detailed Description

Calculation of the Sharpe Ratio (SR) developed by William F. Sharpe.

Reference: https://www.investopedia.com/articles/07/sharpe_ratio.asp Formula: S(x) = (Rx - Rf) / stdDev(Rx) Where: S(x) - sharpe ratio of x Rx - average rate of return for x Rf - risk-free rate

Definition at line 32 of file SharpeRatio.cs.

Constructor & Destructor Documentation

◆ SharpeRatio() [1/6]

QuantConnect.Indicators.SharpeRatio.SharpeRatio	(	string	name,
		int	period,
		IRiskFreeInterestRateModel	riskFreeRateModel
	)

Creates a new Sharpe Ratio indicator using the specified periods

Parameters

name	The name of this indicator
period	Period of historical observation for sharpe ratio calculation
riskFreeRateModel	Risk-free rate model

Definition at line 80 of file SharpeRatio.cs.

◆ SharpeRatio() [2/6]

QuantConnect.Indicators.SharpeRatio.SharpeRatio	(	int	period,
		IRiskFreeInterestRateModel	riskFreeRateModel
	)

Creates a new Sharpe Ratio indicator using the specified periods

Parameters

period	Period of historical observation for sharpe ratio calculation
riskFreeRateModel	Risk-free rate model

Definition at line 103 of file SharpeRatio.cs.

◆ SharpeRatio() [3/6]

QuantConnect.Indicators.SharpeRatio.SharpeRatio	(	string	name,
		int	period,
		PyObject	riskFreeRateModel
	)

Creates a new Sharpe Ratio indicator using the specified period using a Python risk free rate model

Parameters

period	Period of historical observation for sharpe ratio calculation
riskFreeRateModel	Risk-free rate model

Definition at line 113 of file SharpeRatio.cs.

◆ SharpeRatio() [4/6]

QuantConnect.Indicators.SharpeRatio.SharpeRatio	(	int	period,
		PyObject	riskFreeRateModel
	)

Creates a new Sharpe Ratio indicator using the specified period using a Python risk free rate model

Parameters

period	Period of historical observation for sharpe ratio calculation
riskFreeRateModel	Risk-free rate model

Definition at line 123 of file SharpeRatio.cs.

◆ SharpeRatio() [5/6]

QuantConnect.Indicators.SharpeRatio.SharpeRatio	(	string	name,
		int	period,
		decimal	riskFreeRate = `0.0m`
	)

Creates a new Sharpe Ratio indicator using the specified periods

Parameters

name	The name of this indicator
period	Period of historical observation for sharpe ratio calculation
riskFreeRate	Risk-free rate for sharpe ratio calculation

Definition at line 134 of file SharpeRatio.cs.

◆ SharpeRatio() [6/6]

QuantConnect.Indicators.SharpeRatio.SharpeRatio	(	int	period,
		decimal	riskFreeRate = `0.0m`
	)

Creates a new SharpeRatio indicator using the specified periods

Parameters

period	Period of historical observation for sharpe ratio calculation
riskFreeRate	Risk-free rate for sharpe ratio calculation

Definition at line 144 of file SharpeRatio.cs.

Member Function Documentation

◆ ComputeNextValue()

override decimal QuantConnect.Indicators.SharpeRatio.ComputeNextValue ( IndicatorDataPoint input )

protected

Computes the next value for this indicator from the given state.

Parameters

input The input given to the indicator

Returns: A new value for this indicator

Definition at line 154 of file SharpeRatio.cs.

◆ Reset()

override void QuantConnect.Indicators.SharpeRatio.Reset ( )

Resets this indicator to its initial state

Definition at line 164 of file SharpeRatio.cs.

Here is the call graph for this function:

Member Data Documentation

◆ IsReady

override bool QuantConnect.Indicators.SharpeRatio.IsReady => Ratio.Samples > _period

Returns whether the indicator is properly initialized with data

Definition at line 72 of file SharpeRatio.cs.

Property Documentation

◆ RateOfChange

RateOfChange QuantConnect.Indicators.SharpeRatio.RateOfChange

getprotected

RateOfChange indicator for calculating the sharpe ratio

Definition at line 47 of file SharpeRatio.cs.

◆ RiskFreeRate

Identity QuantConnect.Indicators.SharpeRatio.RiskFreeRate

getprotected

RiskFreeRate indicator for calculating the sharpe ratio

Definition at line 52 of file SharpeRatio.cs.

◆ Ratio

IndicatorBase QuantConnect.Indicators.SharpeRatio.Ratio

getsetprotected

Indicator to store the calculation of the sharpe ratio

Definition at line 57 of file SharpeRatio.cs.

◆ Numerator

IndicatorBase QuantConnect.Indicators.SharpeRatio.Numerator

getprotected

Indicator to store the numerator of the Sharpe ratio calculation

Definition at line 62 of file SharpeRatio.cs.

◆ WarmUpPeriod

int QuantConnect.Indicators.SharpeRatio.WarmUpPeriod

get

Required period, in data points, for the indicator to be ready and fully initialized.

Definition at line 67 of file SharpeRatio.cs.

The documentation for this class was generated from the following file:

Indicators/SharpeRatio.cs

Public Member Functions

Public Attributes

Protected Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ SharpeRatio() [1/6]

◆ SharpeRatio() [2/6]

◆ SharpeRatio() [3/6]

◆ SharpeRatio() [4/6]

◆ SharpeRatio() [5/6]

◆ SharpeRatio() [6/6]

Member Function Documentation

◆ ComputeNextValue()

◆ Reset()

Member Data Documentation

◆ IsReady

Property Documentation

◆ RateOfChange

◆ RiskFreeRate

◆ Ratio

◆ Numerator

◆ WarmUpPeriod