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Benchmarking & Actual Cash/Interest Rates over longer timeperiods



  • Hi All,

    I just wanted to put out there a quick question - is it possible to benchmark against actual cash rates rather than just a 1%/fixed rate assumption (aka like the Sharpe ratio currently uses 1% as a default).

    I'm building a monthly FX trading strategy based on economic fundamentals (eg rate differentials, terms-of-trade, equity returns) and ideally would like to be able to benchmark my strategy against actual cash (as my data is monthly from 1990, cash rates were very different back then!)

    My thought was to build a synthetic cash index and load it as a datafeed and use that as a "Benchmark" using the observer method. Would that work and is there a better way of doing it?

    Also when using optstrategy - can I still use benchmarks?

    Thanks in advance!

    Regards,
    Amien


  • administrators

    @amien-johaadien said in Benchmarking & Actual Cash/Interest Rates over longer timeperiods:

    My thought was to build a synthetic cash index and load it as a datafeed and use that as a "Benchmark" using the observer method. Would that work and is there a better way of doing it?

    The Observer is only for visual representation. The functionality is actually in the Analyzer. But yes, that would be the right approach (imho)

    @amien-johaadien said in Benchmarking & Actual Cash/Interest Rates over longer timeperiods:

    Also when using optstrategy - can I still use benchmarks?

    Yes (unless you happen to trigger one of the pickling problems)