Dual momentum Sharpe Ratio

• 07/24/2024 at 8:56 PM #235738
  Marcfarm

  Timeframe(Monthly) c1 = ROC[12](close) > 0 c2 = ROC[3](close) Timeframe(default) SCREENER[c1](c2 AS "Dual Momentum")

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  Timeframe(Monthly) c1 = ROC[12](close) > 0 c2 = ROC[3](close) Timeframe(default) SCREENER[c1](c2 AS "Dual Momentum")

  Buongiorno  questo screener mi va a selezionare (dato un paniere di ETF azionari) quelli che hanno avuto una Var%12M maggiore di zero (Absolute momentum) e me li ordina per la miglior Var%3M (Relative Momentum).

  E’ possibile sostituire la var% sia a 12 mesi che a 3 mesi (ROC) con lo Sharpe Ratio in modo da tener conto anche della volatilità dei singoli ETF?

  Lo screener dovrebbe filtrare quelli con uno Sharpe Ratio 12 mesi>0 e poi ordinarli per Sharpe ratio 3 mesi.

  

  Marcfarm

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  07/25/2024 at 8:25 AM #235745
  Iván

  Ciao. Eccolo qui:

  timeframe(Monthly) length1=12 length2=3 MonthlyReturns = close / close[1] - 1 //-----------------------------------------------// // Sharpe Ratio 12 months meanReturn12M = Average[length1](MonthlyReturns) stdDev12M = Std[length1](MonthlyReturns) sharpeRatio12M = meanReturn12M / stdDev12M //-----------------------------------------------// // Sharpe Ratio 3 months meanReturn3M = Average[length2](MonthlyReturns) stdDev3M = Std[length2](MonthlyReturns) sharpeRatio3M = meanReturn3M / stdDev3M //-----------------------------------------------// //-----------------------------------------------// SCREENER[sharpeRatio12M > 0](sharpeRatio3M as "sharpe 3M")

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  timeframe(Monthly) length1=12 length2=3   MonthlyReturns = close / close[1] - 1 //-----------------------------------------------// // Sharpe Ratio 12 months meanReturn12M = Average[length1](MonthlyReturns) stdDev12M = Std[length1](MonthlyReturns) sharpeRatio12M = meanReturn12M / stdDev12M //-----------------------------------------------// // Sharpe Ratio 3 months meanReturn3M = Average[length2](MonthlyReturns) stdDev3M = Std[length2](MonthlyReturns) sharpeRatio3M = meanReturn3M / stdDev3M //-----------------------------------------------// //-----------------------------------------------// SCREENER[sharpeRatio12M > 0](sharpeRatio3M as "sharpe 3M")

  

  Iván

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  07/25/2024 at 11:58 AM #235776
  Marcfarm

  Perfetto. Grazie

  

  Marcfarm

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