eltonaguiar
1 posts
msg #157305
- Ignore eltonaguiar |
7/30/2021 9:34:11 AM
so buying the highest Sharpe ratio stock is safest ? in this case AAPL stock it suggests from recent dates...
I had a google spreadsheet where I took Sharpe Ratio , along with showing historical 1 year returns
for example, what if you bought the stock in 2015-2016, what about 2016-2017, 2017-2018 , etc..
Based on the number of negative yearly periods. along with quarterly periods,
[Fetcher
SET{9542DAYSAGO, CLOSE 9542 DAYS AGO}
SET{9542DAYRETURN, CLOSE - 9542DAYSAGO}
SET{9542DAYPERCENTRETURN, 9542DAYRETURN / 9542DAYSAGO}
SET{9542DAYPERCENTRETURN9542, 100 * 9542DAYPERCENTRETURN}
SET{RISKFREERETURN, 0.000895425}
SET{PERFORMANCE, 9542DAYPERCENTRETURN - RISKFREERETURN}
SET{SPY, IND(SPY,CLOSE)}
SET{SPYMA9542, CMA(SPY,9542)}
SET{SPYSTD, CSTDDEV(SPY,9542)}
SET{SPYVOL, SPYSTD / SPYMA9542}
SET{ETFSTD, CSTDDEV(CLOSE,9542)}
SET{ETFVOL, ETFSTD / MA(9542)}
SET{BETA9542, ETFVOL / SPYVOL}
/*SHARPE RATIO*/
SET{SHARPE, PERFORMANCE / ETFVOL}
/*TREYNOR RATIO*/
SET{TREYNOR1, PERFORMANCE / BETA9542}
SET{TREYNOR, TREYNOR1 * 100}
/*JENSEN'S ALPHA*/
SET{SPY9542DAYSAGO, SPY 9542 DAYS AGO}
SET{SPY9542DAYRETURN, SPY - SPY9542DAYSAGO}
SET{SPYRETURN, SPY9542DAYRETURN / SPY9542DAYSAGO}
SET{SPYPERFORMANCE, SPYRETURN - RISKFREERETURN}
SET{RISKADJUST, BETA9542 * SPYPERFORMANCE}
SET{JENSEN1, PERFORMANCE - RISKADJUST}
SET{JENSEN, JENSEN1 * 100}
DRAW SHARPE LINE AT 0
DRAW TREYNOR ON PLOT SHARPE
DRAW JENSEN ON PLOT SHARPE
DRAW MA(9542)
ADD COLUMN SHARPE {SHARPE RATIO}
ADD COLUMN TREYNOR {TREYNOR RATIO}
ADD COLUMN JENSEN {JENSEN'S ALPHA}
ADD COLUMN BETA9542 {BETA}
ADD COLUMN EPS {EPS}
CHART-TIME IS 63 DAYS
add column PE Ratio
ADD COLUMN 9542DAYPERCENTRETURN9542 {9542 day %}
Sharpe is greater than 2000
Volume is greater than 3000000
market is not OTCBB
SORT ON COLUMN 5 DESCENDING
]
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