Sharpe ratio with seconds-resolution data

benmercerdev

I'm using a custom data set

Date,Ask,Bid,Volume,Close
2020-04-16 09:29:00,3779.4,3778.2,1133760.0,3778.8
2020-04-16 09:30:00,3781.0,3777.8,1133731.7857142857,3779.4
2020-04-16 09:30:00,3779.4,3778.0,1133717.7721518988,3778.7
2020-04-16 09:30:01,3779.2,3778.2,1133700.3956043955,3778.7

Resampling with this:

cerebro.resampledata(
        data1, timeframe=bt.TimeFrame.Seconds, compression=1)

And trying to add Sharpe ration calculation like this:

cerebro.addanalyzer(btanalyzers.SharpeRatio, _name='mysharpe',
                        timeframe=bt.TimeFrame.Seconds, factor=252, compression=60)

I'm a bit unclear about the factor and the compression parameters for the SharpeRatio analyzer and what they should be for my timeframe?

Thanks ahead of time for any help!

soulmachine

@benmercerdev Your compression is incorrect, you should use the following:

cerebro.addanalyzer(btanalyzers.SharpeRatio, _name='mysharpe',
                        timeframe=bt.TimeFrame.Seconds, factor=252, compression=60*60*24)

soulmachine

@benmercerdev See my another post https://community.backtrader.com/topic/2747/how-to-initialize-bt-analyzers-sharperatio/

run-out

There's a current thread on this topic here