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掘金社区
4***2@qq.com 发表在 掘金2 2017-04-08 12:48:11
回测结果中的夏普比率的计算方法?
回测结果中的夏普比率的计算方法?Pinned highlighted
4***2@qq.com 发表在掘金2 2017-04-08 12:48:11
想请问一下回测系统中的夏普比率的计算方法是怎样的?无风险利率是用什么进行计算的?谢谢。
mean(daily profit ratio - riskfree profit ratio) / std(daily profit ratio - riskfree profit ratio),然后年化
目前: risk free profit ratio == 0
4***2@qq.com
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