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Sharpe ratio with seconds-resolution data
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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!
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@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)
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@benmercerdev See my another post https://community.backtrader.com/topic/2747/how-to-initialize-bt-analyzers-sharperatio/
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There's a current thread on this topic here