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Portfolio123 » List all forums » Forum: Announcements » Thread: IMPORTANT: Sharpe() and Sortino() function problem |
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Total posts in this thread: 3 |
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marco
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Dear All, Sharpe() and Sortino() functions were introduced to offer a more flexible version of Sharpe1Y,2Y, and Sortino1Y,2Y. A while back the parameter specification for these functions was changed to be more intuitive. The first parameter was changed to be the total number of bars to examine, and the second parameter the number of bars used to calculate the returns. This created a problem that has been around for a few months. Most Sharpe() and Sortino() functions returned NAs because it was using the old order of the parameters. We have now fixed the problem and the new versions will be available tomorrow. Sharpe1Y,2Y and Sortino1Y,2Y are ok. We did not catch this problem because most users (us included) used this function to rank. When ranking encounters NA it assigns the same rank to all the stocks, making it basically a random function, but it's hard to catch the error. The parameter change seemed so simple that a thorough test was not performed. To see this problem clearly try a screen with only one rule: "Sharpe(120,1)" This should calculate the sharpe of the past 120 1-bar returns. You'll get zero stocks because NA values make the rule fail. We're terribly sorry for this. The fix will go live tomorrow. Please re-test your systems tomorrow. ---------------------------------------- Portfolio123 Staff ---------------------------------------- [Edit 2 times, last edit by marco at Jul 28, 2009 5:10:28 PM] |
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o806
Advanced Member
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Marco: Your openness about fixing mistakes is to be commended. This is a refreshing contrast to some other stock software providers I have encountered. Regards, Brian |
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strader1
Advanced Member
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Marco & All, I wonder if this might explain the recent underperformance of BompusRank vs. some of the other ranking systems. Also, is it now fixed? -- Bill |
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