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Treasury Return For Calculating Sharpe Question
KE LI
edited Mar 6, 2015

I am new to quantopian, but I am confused about the sharpe calculation, here's my back test result attached. It's a very simple buy and hold strategy which uses AMZN stock

My test strategy starts from 2013-02-07 to 2014-02-07, I found that in "Treasury Returns" it shows only 0.001 for one year:
January 2014 0 0 0 0.001

But when I went to the US government website to check the US treasury yield curve:
http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield

It shows these yield rates at 2013-02-07:
0.11 for 6 months
0.15 for 1 year

Neither matched 0.001 shown in "Treasury returns" in the test result. This also affects the Sharpe ratio calculation in the final result!

I am confused about such a high sharpe ratio here. Thanks in advance. :)

3 responses
KE LI
Mar 7, 2015

Hmm.... Still zero reply for this, I am now really not confident about the high sharpe ratio due to this low treasury rate used

Michael Van Kleeck
Mar 7, 2015

Quantopian and the Treasury site use different formats for percents. For example, seven-and-a-half percent would be 0.075 on Quantopian and 7.5 on the Treasury site. In your example, the Treasury 0.11 for six months is equivalent to Quantopian 0.0011, which rounds to 0.001 in your test result.

KE LI
Mar 7, 2015

Got it! Thanks Michael for your help :)

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