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Rolling Sharpe- Trend Indicator for futures?


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Rolling Sharpe- Trend Indicator for futures?

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  #1 (permalink)
Detroit, MI
 
 
Posts: 15 since Oct 2010
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Is there an indicator or does anybody know the easy language code for calculating a rolling sharpe ratio to using for determining trend?

I'm looking to generate a signal if this "custom sharpe indicator" crosses above and below zero. I tested this in excel and it works really well to determine an exit of a trend and formation of new trend.

I took the return over e.g. 20 5 minute bars and divided it by the standard deviation. If negative, downtrend. If positive, uptrend. If crosses above / below zero, the trend changed.

Anyone using something like this or know how to program so that you're calculating return over x number of bars and dividing by standard deviation over x number of bars?

Thanks,

Tim

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  #3 (permalink)
london, uk
 
 
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I don't know a program that calculates it. But I might be interested in coding it up myself and doing some long term back tests if you convinced me it was worthwhile

How good is the resulting performance by whatever your chosen metric is?
Over how long a period?
Can it beat transaction costs?
What markets have you tried it on?

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  #4 (permalink)
Detroit, MI
 
 
Posts: 15 since Oct 2010
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piebald View Post
I don't know a program that calculates it. But I might be interested in coding it up myself and doing some long term back tests if you convinced me it was worthwhile

How good is the resulting performance by whatever your chosen metric is?
Over how long a period?
Can it beat transaction costs?
What markets have you tried it on?

I did some testing on ETFs and Mutual Funds. Regarding transaction costs, the ETFs had a bid ask spread % taken out for trades. If trading OneSource or NTF, no transaction fees. I haven't looked at using a fixed $ amount for transactions yet.

I want to have code automated for an intraday and daily signal on futures and equities.

Here is SPY and TLT from 2003:


Here it is on a strategic beta ETF universe:




This is time series on an unoptimized 30D (randomly chosen) showing the signal during price movements. The threshold is also unoptimized. I did not test different thresholds other than 0 and 2 / -2 signal crosses for entry and exits.


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July 7, 2015


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