\u590f\u666e\u6bd4\u7387\uff08Sharpe Ratio\uff09\u662f\u8861\u91cf\u6295\u8d44\u7ec4\u5408\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u7684\u91cd\u8981\u6307\u6807\uff0c\u5b83\u53cd\u6620\u4e86\u6bcf\u627f\u62c5\u4e00\u5355\u4f4d\u98ce\u9669\u6240\u83b7\u5f97\u7684\u8d85\u8fc7\u65e0\u98ce\u9669\u6536\u76ca\u7684\u989d\u5916\u6536\u76ca\u3002\u5728 Backtrader \u4e2d\uff0c\u590f\u666e\u6bd4\u7387\u7684\u8ba1\u7b97\u7531bt.analyzers.SharpeRatio\u81ea\u52a8\u5b8c\u6210\uff0c\u4f46\u7406\u89e3\u5176\u539f\u7406\u6709\u52a9\u4e8e\u4f18\u5316\u7b56\u7565\u3002<\/p>\n\n\n\n
\u590f\u666e\u6bd4\u7387\u7684\u8ba1\u7b97\u516c\u5f0f
Sharpe Ratio=(\u200bRp\u200b\u2212Rf)\u200b\u200b \/\u03c3p
\u5176\u4e2d\uff1a<\/p>\n\n\n\n
Rp\u200b \u662f\u6295\u8d44\u7ec4\u5408\u7684\u5e73\u5747\u6536\u76ca\u7387<\/p>\n\n\n\n
Rf\u200b \u662f\u65e0\u98ce\u9669\u5229\u7387\uff08\u5982\u56fd\u503a\u6536\u76ca\u7387\uff09<\/p>\n\n\n\n
\u03c3p\u200b \u662f\u6295\u8d44\u7ec4\u5408\u6536\u76ca\u7387\u7684\u6807\u51c6\u5dee\uff08\u8861\u91cf\u98ce\u9669\uff09<\/p>\n\n\n\n
Python \u624b\u52a8\u5b9e\u73b0\u590f\u666e\u6bd4\u7387\u8ba1\u7b97
\u4e0b\u9762\u662f\u4e00\u4e2a\u7b80\u5316\u7684 Python \u51fd\u6570\uff0c\u5c55\u793a\u5982\u4f55\u624b\u52a8\u8ba1\u7b97\u590f\u666e\u6bd4\u7387\uff0c\u5e2e\u52a9\u4f60\u7406\u89e3\u5176\u539f\u7406\uff1a<\/p>\n\n\n\n
python<\/p>\n\n\n\n
\u8fd0\u884c
import numpy as np
def calculate_sharpe_ratio(returns, risk_free_rate=0.03):
“”” \u8ba1\u7b97\u590f\u666e\u6bd4\u7387 \u53c2\u6570: returns: \u6bcf\u65e5\u6536\u76ca\u7387\u5217\u8868\u6216\u6570\u7ec4 risk_free_rate: \u5e74\u5316\u65e0\u98ce\u9669\u5229\u7387\uff0c\u9ed8\u8ba43%\uff08\u4e2d\u56fd\u56fd\u503a\u5229\u7387\u53c2\u8003\u503c\uff09
\u8fd4\u56de: \u590f\u666e\u6bd4\u7387 “””
# \u5c06\u5e74\u5316\u65e0\u98ce\u9669\u5229\u7387\u8f6c\u6362\u4e3a\u65e5\u5229\u7387
daily_risk_free_rate = (1 + risk_free_rate) ** (1\/252) – 1
# \u8ba1\u7b97\u8d85\u989d\u6536\u76ca\u7387\uff08\u6bcf\u65e5\u6536\u76ca\u7387 – \u65e0\u98ce\u9669\u5229\u7387\uff09
excess_returns = returns – daily_risk_free_rate
# \u8ba1\u7b97\u590f\u666e\u6bd4\u7387\uff1a\u8d85\u989d\u6536\u76ca\u7387\u7684\u5747\u503c\u9664\u4ee5\u6807\u51c6\u5dee
# \u4e58\u4ee5\u6839\u53f7252\u5c06\u65e5\u590f\u666e\u6bd4\u7387\u8f6c\u6362\u4e3a\u5e74\u5316
if np.std(excess_returns) == 0:
return np.nan
return np.sqrt(252) * np.mean(excess_returns) \/ np.std(excess_returns)<\/p>\n\n\n\n
\u5728 Backtrader \u4e2d\u7684\u5e94\u7528
\u5728\u4f60\u7684\u4ee3\u7801\u4e2d\uff0cBacktrader \u4f7f\u7528\u66f4\u7cbe\u786e\u7684\u65b9\u6cd5\u8ba1\u7b97\u590f\u666e\u6bd4\u7387\uff1a<\/p>\n\n\n\n
python<\/p>\n\n\n\n
\u8fd0\u884c
# \u6dfb\u52a0\u590f\u666e\u6bd4\u7387\u5206\u6790\u5668
self.cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name=’sharpe’)
# \u83b7\u53d6\u5206\u6790\u7ed3\u679c
sharpe_ratio = self.strategy.analyzers.sharpe.get_analysis()[‘sharperatio’]<\/p>\n\n\n\n
Backtrader \u9ed8\u8ba4\u4f7f\u7528annualize=True\u548criskfreerate=0.0\u53c2\u6570\uff0c\u610f\u5473\u7740\uff1a<\/p>\n\n\n\n
\u7ed3\u679c\u662f\u5e74\u5316\u590f\u666e\u6bd4\u7387<\/p>\n\n\n\n
\u5047\u8bbe\u65e0\u98ce\u9669\u5229\u7387\u4e3a 0\uff08\u7b80\u5316\u8ba1\u7b97\uff09<\/p>\n\n\n\n
\u5bf9\u56de\u6d4b\u7ed3\u679c\u7684\u89e3\u8bfb
\u4f60\u7684\u56de\u6d4b\u7ed3\u679c\u663e\u793a\u590f\u666e\u6bd4\u7387\u4e3a 0.583\uff0c\u610f\u5473\u7740\uff1a<\/p>\n\n\n\n
\u6bcf\u627f\u62c5 1 \u5355\u4f4d\u98ce\u9669\uff0c\u7b56\u7565\u83b7\u5f97 0.583 \u5355\u4f4d\u7684\u8d85\u989d\u6536\u76ca<\/p>\n\n\n\n
\u4e00\u822c\u8ba4\u4e3a\u590f\u666e\u6bd4\u7387 > 1 \u8868\u793a\u826f\u597d\uff0c>2 \u8868\u793a\u4f18\u79c0<\/p>\n\n\n\n
0.583 \u7684\u6570\u503c\u8868\u660e\u7b56\u7565\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u4e2d\u7b49\uff0c\u6709\u4f18\u5316\u7a7a\u95f4<\/p>\n\n\n\n
\u4f18\u5316\u5efa\u8bae
\u8c03\u6574\u53c2\u6570\uff1a\u5c1d\u8bd5\u4e0d\u540c\u7684\u5747\u7ebf\u5468\u671f\uff08\u5982 5\/30\u300110\/60\uff09\u63d0\u9ad8\u590f\u666e\u6bd4\u7387<\/p>\n\n\n\n
\u6dfb\u52a0\u6b62\u635f\uff1a\u63a7\u5236\u5355\u7b14\u4e8f\u635f\uff0c\u964d\u4f4e\u6ce2\u52a8\u7387<\/p>\n\n\n\n
\u591a\u7b56\u7565\u7ec4\u5408\uff1a\u7ed3\u5408\u5176\u4ed6\u6307\u6807\uff08\u5982 MACD\u3001KDJ\uff09\u51cf\u5c11\u8bef\u5224<\/p>\n\n\n\n
\u8003\u8651\u65e0\u98ce\u9669\u5229\u7387\uff1a\u5728\u8ba1\u7b97\u590f\u666e\u6bd4\u7387\u65f6\u4f7f\u7528\u5b9e\u9645\u65e0\u98ce\u9669\u5229\u7387\uff08\u5982\u4f59\u989d\u5b9d\u6536\u76ca\u7387\uff09<\/p>\n\n\n\n
\u5982\u679c\u4f60\u9700\u8981\u8fdb\u4e00\u6b65\u4f18\u5316\u590f\u666e\u6bd4\u7387\u6216\u5176\u4ed6\u6307\u6807\uff0c\u53ef\u4ee5\u4fee\u6539\u7b56\u7565\u7c7b\u4e2d\u7684\u53c2\u6570\uff0c\u6216\u8005\u6dfb\u52a0\u66f4\u591a\u6280\u672f\u6307\u6807\u4f5c\u4e3a\u4ea4\u6613\u4fe1\u53f7\u3002<\/p>\n","protected":false},"excerpt":{"rendered":"
\u590f\u666e\u6bd4\u7387\uff08Sharpe Ratio\uff09\u662f\u8861\u91cf\u6295\u8d44\u7ec4\u5408\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u7684\u91cd\u8981\u6307\u6807\uff0c\u5b83\u53cd Continue Reading<\/a><\/span><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[24],"tags":[],"class_list":["post-5661","post","type-post","status-publish","format-standard","hentry","category-24"],"_links":{"self":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts\/5661","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=5661"}],"version-history":[{"count":2,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts\/5661\/revisions"}],"predecessor-version":[{"id":5663,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=\/wp\/v2\/posts\/5661\/revisions\/5663"}],"wp:attachment":[{"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5661"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5661"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/cnliutz.wicp.vip\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5661"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}