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Incorrect Sharpe Ratio and CAGR??

1 replies

7 years ago #115582

Hi,

Is the Sharpe Ratio and CAGR accurate? My manual calculations doesn’t match with QuantAnalyzer.

Manual calculations

– Sharpe Ratio (based on $ profit): 0.257

– Sharpe Ratio (based on % profit on balance): 0.296

– CAGR (based on 2 years): 41.69%

QuantAnalyzer calculations

– Sharpe Ratio: 0.32

– CAGR: 26.16%

I have attached the documents if anyone wants to correct me or verify that the software calcs are incorrect.

File: AUDCAD – 2 Years – 15 Wait – 4 ATRM – Every Tick.pdf

File: AUDCAD – 2 Years – 15 Wait – 4 ATRM – Every Tick.htm

7 years ago #139599

sorry for reacting late. I can check it, but what is your algorithm for manual calculation?

Mark
StrategyQuant architect

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