Is there a bug in the calculation of the "Sharpe Ratio" in the backtesting?

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Is there a bug in the calculation of the "Sharpe Ratio" in the backtesting?

posted May 3, 2019

Hi,

I did a backtesting. From the new backtesting result page I got the followings:

Total Returns 100.71 %
Specific Returns 30.62 %
Common Returns 53.51 %
Sharpe 1.20
Max Drawdown -18.55 %
Volatility 0.17

But from the old page I got these:
Total Returns
100.7%
Benchmark Returns
64.3%
Alpha
0.15
Beta
0.70
Sharpe
1.84
Sortino
2.67
Volatility
0.17
Max Drawdown
-18.55%

One can see the Sharpe is quite different.

1 response

Joakim Arvidsson (Cream Mongoose)

I'm just guessing, but perhaps the old page calculated the average Sharpe ratio on a rolling annual basis (252 days), whereas the new page calculates it on a rolling 126 day basis?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.