Library "APT_Metrics" Portfolio metrics using alternative portfolio theory metrics(init, cur, start, end, alpha) Calculates APT metrics Parameters: init (float) : Starting Equity (strategy.initial) cur (float) start (int) : Start date (UNIX) end (int) : End Date (UNIX) alpha (float) : Confidence interval for DaR/CDaR. Defval =...
This is a "bands"-type indicator. It was developed out of my Sharpe Ratio indicator . It uses the standard deviation of returns as basis for drawing the bands. I'm going to update this indicator as the other indicator evolves. Please be sure you know how to calculate Sharpe Ratio and check out the Sharpe Ratio indicator as well. This will help you understand...
[image/x/iZvwDWEY/ Relative Strength indicator comparing the current symbol to SPY (or any other benchmark). It may help to pick the right assets to complement the portfolio build around core ETFs such as SPY. The general idea is to show if the current symbol outperforms or underperforms the benchmark (SPY by default) when bought some certain time ago. Relative...
With thanks to luminaryfi for this indicator calculates basic metrics and statistics for a multi-asset portfolio. Note that returns are plotted after being multiplied by 100 in order allow the series to be visible against the other statistics.
Portfolio Metrics... Standard Deviation Jensen's Alpha Beta Expected Return (CAPM, Ra) Sharpe Ratio Treynor Ratio
USE ON DAILY TIMEFRAME TO DETECT MOMO STOCKS & ETFs AND TRADE THEM This Strategy goes long when Sharpe Ratio is > 1 and Alpha against the S&P500 is generated. It exits when conditions break away. Strategy can be adapted to run intraday, it however needs different (lower) trigger levels. examples to try this on: GER30, NAS100, JPN225, AAPL, IBB, TSLA, etc.
The Sharpe ratio allows you to see whether or not an investment has historically provided a return appropriate to its risk level. A Sharpe ratio above one is acceptable, above 2 is good, and above 3 is excellent. A Sharpe ratio less than one would indicate that an investment has not returned a high enough return to justify the risk of holding it. Interesting in...