【SharpeRatio】

1. Input:
   
2.         Period(NumericSimple), {0=monthly, 1=daily}
   
3.         IntRate(NumericSimple), {interest rate}
   
4.         CalculateRatio(TrueFalseSimple), {final calculation}
   
5.         InitCapital(NumericSimple); {initial capital}
   
6.                
   
7. array: periods_returns[](0), periods_return_percent[](0);
   
8. var: intrabarpersist last_idx(0);
   
9. 
   
10. var: new_periods(0);
    
11. 
    
12. new_periods = 0;
    
13. 
    
14. var: recalcpersist int_rate_per_period(12);
    
15. 
    
16. once begin
    
17.         switch (Period) begin
    
18.                 case 0 : int_rate_per_period = IntRate / 12 / 100;
    
19.                 case 1 : int_rate_per_period = IntRate / 365 / 100;
    
20.         end;
    
21. end;
    
22. 
    
23. var: intrabarpersist start(False);
    
24. once (0 <> i_CurrentContracts or 0 <> i_OpenEquity) start = true;
    
25. 
    
26. if not start then
    
27.         #return;
    
28.        
    
29. 
    
30. switch (Period) begin
    
31.         case 0 : begin
    
32.                 new_periods = MonthsCount;
    
33.                 end;
    
34.         case 1 : begin
    
35.                 new_periods = DaysCount;
    
36.                 end;               
    
37. end;
    
38. 
    
39. var: intrabarpersist prev_equity(0);
    
40. 
    
41. var: Equity(0);
    
42. Equity = i_OpenEquity;
    
43. 
    
44. if 0 < new_periods then begin
    
45.         array_setmaxindex(periods_returns, last_idx + new_periods);
    
46.        
    
47.         periods_returns[last_idx + 1] = Equity[1] - prev_equity;
    
48. 
    
49.         for value1 = 2 to new_periods - 1 begin
    
50.                 periods_returns[last_idx + value1] = 0;
    
51.         end;
    
52.        
    
53.         last_idx += new_periods;
    
54.         prev_equity = Equity[1];
    
55. end;
    
56. 
    
57. var: intrabarpersist calculated(False);
    
58. if CalculateRatio and not calculated then begin
    
59.         once calculated = True;
    
60. 
    
61.         if 0 = new_periods and 0 <> i_MarketPosition then begin
    
62.                 last_idx += 1;
    
63.                 array_setmaxindex(periods_returns, last_idx);
    
64.                 periods_returns[last_idx] = Equity - prev_equity;
    
65.         end;
    
66. 
    
67.         RemoveLastZeros(periods_returns, last_idx);
    
68.                
    
69.         array_setmaxindex(periods_return_percent, last_idx);
    
70. 
    
71.         CummRatio(periods_returns, periods_return_percent, last_idx, InitCapital);
    
72.        
    
73.         var: AvgReturnPercent(0), ReturnStdDev(0);
    
74.         AvgReturnPercent = AverageArray( periods_return_percent, last_idx );
    
75.         ReturnStdDev= StandardDevArray( periods_return_percent, last_idx, 0 );
    
76. 
    
77.         if 0 <> ReturnStdDev then
    
78.                 SharpeRatio = (AvgReturnPercent- int_rate_per_period) / ReturnStdDev;
    
79. end;

复制代码