Why do I get 'None' as value for SharpeRatio?

CptanPanic

So I am new to backtrader, and have setup an initial strategy. I have a few analyzer added, and the other ones give a value, but the SharpeRatio one gives me 'None' Any ideas?

cerebro = bt.Cerebro()

cerebro.broker.setcash(1000.0)


print('STart Portfolio Value: %.2f' % cerebro.broker.getvalue())

    # Add a strategy
cerebro.addstrategy(TestStrategy)
    
# Pass it to the backtrader datafeed and add it to the cerebro
#data_feed = bt.feeds.PandasData(dataname=data['USDT_ETH'])

# Create a Data Feed
data_feed = bt.feeds.InfluxDB(
    dataname="USDT_ETH",
    username="admin",
    password="conStant",
    database="finance",
    host="192.168.1.82",
    open="open",
    close="close",
    high="high",
    low="low",
    # Do not pass values before this date
    fromdate=datetime.datetime(2017, 1, 1),
    # Do not pass values after this date
    todate=datetime.datetime(2017, 12, 31))

cerebro.adddata(data_feed)

data_feed = bt.feeds.InfluxDB(
    dataname="USDT_BTC",
    username="admin",
    password="conStant",
    database="finance",
    host="192.168.1.82",
    open="open",
    close="close",
    high="high",
    low="low",
    # Do not pass values before this date
    fromdate=datetime.datetime(2017, 1, 1),
    # Do not pass values after this date
    todate=datetime.datetime(2017, 12, 31))

cerebro.adddata(data_feed)


# Analyzer
cerebro.addanalyzer(btanalyzers.SharpeRatio, _name='mysharpe')
cerebro.addanalyzer(btanalyzers.AnnualReturn, _name='annual')

thestrats = cerebro.run()
thestrat = thestrats[0]

cerebro.plot()


print('Sharpe Ratio:', thestrat.analyzers.mysharpe.get_analysis())
print('Anual Ratio:', thestrat.analyzers.annual.get_analysis())
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

'''

Richard O'Regan

@CptanPanic Ha, I had exactly the same thing! I figured I must be doing something wrong but instead of investing time resolving, since I don't look at Sharpe much anyway, I decided to ignore for now and I'd come back to it later. Would be interested to see the solution!

backtrader

Because the analyzer has not been able to calculate any SharpeRatio

If you only have 1 year of data and taking into account that the default timeframe for the calculation is years, no calculation can take place. Sharpe needs at least 2 samples for the given timeframe, to calculate the variance.

Rather than using AnnualReturn, consider using TimeReturn and specify the actual target timeframe.

duality_

So I used the TimeReturn, but get a negative result.
My data candles are spaced 30 minutes apart, so I did:

cerebro.addanalyzer(btanalyzers.SharpeRatio, _name='sharpe', timeframe=bt.TimeFrame.Minutes, compression=30)

But this is what I get when calling print on the result:

SharpeRatio:
  - sharperatio: -0.922698416321026

What's the reason for this? One possibility I see is that the convertrate does not support sub-day conversions. If I change riskfreerate to 0.0, I get a ratio of 0.024310682470976966.

backtrader

Docs - Analyzers Reference - Sharpe Ratio

In most occasions the SharpeRatio is delivered in annualized form. Convert the riskfreerate from annual to monthly, weekly or daily rate. Sub-day conversions are not supported

Kisko Apeles

@backtrader Thanks bro! You are the best.